OK.
Warning: I do *not* observe the principles of companion planting beyond putting plants together which share similar sunlight / temperature / water / soil requirements.
That understood, be clear about which variety of fennel you're growing. Here in northern California, the kind that grows wild, in marshes, near highways and roads, in the back yard as volunteers, etc., is a very tap-rooted, very long tap-rooted variety. The longest root I personally have dug out was 30"--and I didn't get the whole thing.

But my friend, in whose yard I was working, said that the plant didn't come back for several years.
If this is the kind of fennel you're growing from seed, I doubt that it matters what you plant it next to: the fennel will thrive, mostly on neglect and occasional water, to judge by the condition of the wild fennel here ("here" being Sunset Zone 17). Per Sunset, this is the perennial variety,
Foeniculum vulgare, and is (no surprise) invasive. We have no rain (generally) from early April through late November, and in some years that might be from mid-March through mid- to late December. Quite a dry spell. The winter rains begin ca. late November/mid-December and end in an average year by mid- to late March.
Since your
temps, though, are so much higher during the summer, your fennel may appreciate extra water and/or shade cloth. It's a rare year in the East Bay (Sunset Zone 17) when temps reach the high 90s (38 to 39 deg C), although on the other side of the East Bay hills (Sunset Zones 14 and 15) temps above 100 are pretty frequent, and there's wild fennel there, too--just not as much of it, and clustered more in shady areas near the edges of roads. (Side note: in late July 2006, when I auditioned for a grooming job in San Ramon, it was 113 deg. F there that day during a heat wave. San Ramon is in Sunset Zone 14.)
If, OTOH, your seeds are of the bulbing-type of fennel, we're talking about a whole 'nother veggie.

This one, according to Sunset an annual (
F. v. azoricum), grows a yummy bulb good for cooking *and* produces seeds at the end of the season on the plants not harvested for their bulbs/roots. These should be planted with other veggies needing full sun and "moderate" water--Sunset's recommendations.
The only exception is for Sunset Zones 12 and 13, where
Azoricum is treated as a winter annual. These zones are the low desert areas of Arizona and southeastern California. Cities shown in these zones in my Sunset book are Indio, Brawley, El Centro, Calexico, Blythe, Needles, Yuma, Parker, Phoenix, Wickenburg, Florence, Casa Grande, Safford, and Tucson. Depending on how close Tempe is to Phoenix (I think fairly close?), fennel may be more successful for you during the winter than the summer months. You may need shade cloth during the high summer temps.
Cynthia H.
Sunset Zone 17, USDA Zone 9