Trim off any excess fat from the lamb cutlets. Chop into 3-4 cm lengths.
Season meat with marinade for several hours or preferably overnight in the refrigerator.
Arrange meat pieces on a lightly oiled wire rack and grill in preheated oven at 180°C. Grill for 10-15 minutes or until meat is cooked through.
With the remaining marinade, pour onto a nonstick saucepan. Add fennel and capsicum and stir-fry for 1-2 minutes. Dish out and serve with the lamb cutlets. Add a sprinkling of coarse ground black pepper.