Put the capers in a sieve and rinse under cold running water. Leave to soak in cold water for 40 minutes, then rinse again.
Separate the beetroot into saucepans, keeping those of the same colour together. Cover with water and season with salt and black pepper. Add a few thyme sprigs and a clove of garlic to each pan.
Bring to the boil then cook for about 30 minutes or until soft- testing by inserting a knife. Drain and leave to cool. When cool enough to handle peel off the skins and slice into rounds.
Gently mix the sliced beetroots with the lemon juice, extra virgin olive oil and capers. Season. Serve warm with the rocket.