Preheat the oven to 190 degrees.
Poor the olive oil into a large oven proof dish (ceramic baking dish) enough to coat the bottom of the pan. Layer half of all the vegetables in the dish.
Clean the fish thoroughly, the bream can be baked whole or gutted, if preferred. Prepare the fish by shaving some of the excess scales from the outer body, slice, with a very sharp knife, diagonally into the meat on one side about 3 times. Place the fish on top of the layers of vegetables.
Cover the fish with the remaining vegetables. Add a little more olive oil and a pinch of salt.
Place the dish in the hot oven for 20 to 25 minutes.
Remove the pan from the oven and pour the dry sherry over the baked fish. Replace the dish in the oven for a couple of minutes. This allows the sherry to infuse into the fish, giving it the distinctive Andalucian flavor.
It is best to serve half a side to each person. A crisp green salad can accompany this dish.