Combine 4 cups water and polenta, and pour into prepared baking dish. Set aside.
Place fennel in a 9- x 13-inch baking dish.
Add bell pepper, red onion, tomatoes, and garlic.
Drizzle with olive oil, and sprinkle with oregano. Toss to coat. Arrange turkey sausage on top, and add 1 cup water.
Bake sausage and vegetables, uncovered, at 425 for 20 minutes.
Remove from oven; turn sausages, and toss vegetables.
Place half of vegetable mixture on top of sausages before returning baking dish to oven.
Reduce temperature to 35
Stir polenta mixture lightly, and place baking dish in oven.
Bake at 350 for 45 minutes.
Remove polenta from oven; stir gently with a fork, and return to oven.
Bake both dishes an additional 10 minutes or until vegetables are completely soft and a thermometer inserted into the thickest part of a sausage registers 17
Remove from oven.
Stir polenta with a fork; polenta will continue to thicken as it stands.
Serve polenta and sausage topped with vegetables and pan sauce.