Heat oven to 180°C.
Drizzle 2 Tbsp. oil in a 2L. baking dish. Add swordfish steaks and turn to coat; season with salt and pepper.
Toss onion, anchovies, tomatoes, capers, vinegar, and remaining 2 Tbsp. oil in a medium bowl; season with salt and pepper and arrange around fish.
Grill until fish is golden brown and tomatoes are starting to blister for 5–8 minutes. Turn fish and grill until fish is opaque throughout and tomatoes have burst and are blistered in spots, 5–7 minutes.
Top with oregano and serve with lemon wedges for squeezing over.
It could not be easier and healthier to whip up this meal!