Plop the garlic and shallot into a mini food processor, and process until finely chopped. Scrape the sides.
Add the capers, anchovy, rosemary, thyme, parsley, walnuts and red wine vinegar. Season with salt and pepper. Process until finely chopped, scraping down the sides occasionally.
Add the olive oil and process until incorporated. Taste the sauce—it should be herby but bright. If you need to, add more vinegar, salt and/or pepper. Transfer the sauce to a bowl and let it sit at room temperature for at least 10 minutes (or up to 1 hour) to let the flavors meld.