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Heat the oven to 220C/200C fan/gas 7. Put the beetroot on a baking tray in a single layer. Drizzle over the oil and season well with salt and freshly ground black pepper. Toss the beetroot to ensure it’s evenly coated in the oil, then roast for 30 mins until tender and beginning to turn golden at the edges.
Meanwhile, combine the dressing ingredients in a medium bowl and set aside. Once the beetroot is cooked, tip three-quarters of it into the dressing and leave to marinate for 45 mins.
Just before the beetroot has finished marinating, combine the puy lentils with the rocket, three-quarters of the feta and two-thirds of the walnuts. Stir through the dressing and the beetroot, and toss until everything is well combined. Tip onto a platter, top with the remaining feta and walnuts, and scatter the chives over the top.