Place the stockpot over medium-high heat. Add 2 tablespoons of olive oil to the pot.
Once the oil is hot, add the diced shallots. Stir to coat with olive oil. Saute for 5 minutes, until the shallots are translucent and soft.
Add the sliced mushrooms to the pot. Cook the mushrooms for 10 minutes, occasionally stirring. The mushrooms will start to release water as they are cooked. Keep cooking until the water has evaporated and the mushrooms start to brown. You may have fond or residue on the bottom of the pot, which is good.
Once the liquid has evaporated in the pot, add the minced garlic and the anchovy paste. Cook for 2 minutes, stirring to incorporate with the mushrooms.
Add 2 tablespoons of unsalted butter to the pan, stirring to coat everything.
When the butter has melted, sprinkle 2 tablespoons of all-purpose flour into the stockpot. Stir to coat everything with flour.
After 2-3 minutes, add the vegetable stock, bay leaf, and 3 sprigs of fresh thyme.
After 5-7 minutes and the stock is hot, add the French green lentils to the stockpot.
Turn heat down to medium and cook until the lentils are soft, about 20-23 minutes.
Add the heavy cream, carrots, and parsley to the soup. Cook until the carrots have softened and are hot, about 3-4 minutes.
Finish the soup with 1 teaspoon of kosher salt, ½ teaspoon of ground black pepper, and ⅓ cup of marsala wine. Don't forget to remove the thyme stalks.
Don't forget garnishes! This soup only gets better with your favorite garnish. I used chopped Calabrian peppers and herb oil for my bowl of soup. But you do you - maybe a little dollop of goat cheese, chopped sundried tomatoes, or roasted walnuts.