Heat the oil in a large skillet over medium-high heat. Add the shallots and cook, stirring occasionally, until they begin to soften, 4 to 5 minutes.
Add the tomatoes, 3/4 teaspoon salt, and 1/2 teaspoon pepper and cook, stirring, until a few of the tomatoes begin to burst, about 3 minutes. Add the wine and cook until nearly evaporated, 4 to 5 minutes. Stir in the capers.