In a Dutch oven or large saucepan, heat the oil over medium-high heat. Add the fennel, garlic, shallots, 1/2 teaspoon salt, and 1/4 teaspoon pepper. Cook, stirring occasionally, until the vegetables are slightly softened, about 4 minutes. Add the sausage and break into 1/2-inch pieces with a wooden spoon. Cook until brown, about 5 minutes. Add the wine and scrape up the brown bits that cling to the bottom of the pan with a wooden spoon. Stir in the tomato paste, chicken broth, and bay leaf. Bring to a simmer, cover, and cook for 10 minutes.

Uncover the pan and add the shrimp, beans, basil, and thyme. Simmer, uncovered, until the shrimp are pink and cooked through, about 4 minutes. Remove the bay leaf and discard. Season with the remaining 1/2 teaspoon salt and 1/4 teaspoon pepper. Ladle the cioppino into soup bowls and serve with crusty bread.