Place swordfish steaks in a 9 x 13 baking dish. Slice the bell pepper and place around the steaks in the pan. Pour the wine over the swordfish steaks. sprinkle the shallots over the steaks. Cover, and marinate in the refrigerator 1 hour.
Preheat oven to 350 degrees F (175 degrees C).
Bake in the preheated oven 20 to 30 minutes, basting occasionally with the wine, until fish is easily flaked with a fork.