Step 1
Heat oven to 450 degrees. Cut the cabbage in quarters lengthwise through the core, then cut out the cores and stem. Slice the quarters lengthwise into 1½-inch-thick wedges.
Step 2
Place wedges on a rimmed sheet pan, flat sides down. It’s OK if the pan seems a bit crowded; the wedges will shrink as they roast, but try not to overlap them if possible. Lightly drizzle them with oil and season with salt.
Step 3
In a small bowl, combine Parmesan, anchovies, garlic, thyme and black pepper. Stir in ½ cup oil to make a loose paste. Massage paste into each cabbage wedge, stuffing the mixture in between the leaves.
Step 4
Lightly drizzle cabbage with a little more oil. Roast until cabbage is lightly browned in spots, 25 to 30 minutes.
Step 5
Remove pan from oven and sprinkle walnuts all over the top of the cabbage. Roast for another 5 minutes or so, until cabbage is tender and caramelized and the walnuts are golden and toasted.
Step 6
Sprinkle cabbage with dill and more Parmesan and black pepper, if you’d like. Serve immediately.
