Heat oven to 400° F. Heat 1 tablespoon oil in an ovenproof skillet over medium heat. Add the sausage and cook, turning once, until it starts to brown, 5 minutes.
Add the onions and ½ teaspoon each salt and pepper and cook, stirring, for 4 minutes.
Add the bell peppers and garlic and cook until just soft, about 4 minutes. Stir in the wine and thyme.
Transfer the skillet to oven. Roast until the sausage is cooked through, about 15 minutes.
Meanwhile, heat the remaining oil in a large nonstick skillet over medium-high heat. Cook the polenta in batches, turning once, until golden brown.
Place the polenta on a platter. Spoon the sausage, vegetables, and pan juices over the top. Serve with the crusty bread, if desired.