How to Make It
Cut eggplant lengthwise into 3/4-inch-thick slabs. Lightly coat eggplant with cooking spray. Preheat grill or large grill pan coated with cooking spray to medium-high (about 450°F). Grill eggplant, uncovered, until tender, about 6 minutes per side. Cool 10 minutes. Coarsely chop eggplant.
Process chopped eggplant, butter, zest, juice, oil, capers, salt, and anchovy in a food processor until very smooth, 1 to 2 minutes. Use immediately, or store in an airtight container in refrigerator, and bring to room temperature before serving. Use Eggplant Butter to finish grilled meats, stirred into sautéed vegetables, or as a spread or dip.