Preheat the oven to 400°F.
Place each beet on a piece of foil and drizzle generously with olive oil and pinches of sea salt and freshly ground black pepper. Wrap the beets in the foil and roast on a baking sheet for 35 to 60 minutes, or until soft and fork-tender. The time will depend on the size and freshness of the beets. Remove the beets from the oven, remove the foil, and set aside to cool. When they are cool to the touch, peel the skins. I like to hold them under running water and slide the skins off with my hands.
Use a citrus peeler to peel long strips around the orange, avoiding the white pith. Grated zest would work here also. Slice ¾ of the orange into segments and reserve the remaining ¼ wedge for squeezing.
Slice the beets into 1” wedges or chunks and place them in a bowl. If you’re using red and yellow beets, place each color into separate bowls so the red beets don’t stain the yellow beets.
Drizzle with olive oil and sherry vinegar, then add the lemon juice, orange juice squeezed from the remaining wedge, and a few pinches of salt and pepper and toss. Chill until ready to serve.
Taste before serving and season with more salt (flaky sea salt, if using) and pepper or more vinegar (for more tang), orange, or lemon juice, as desired.
Serve on a platter with the orange segments, watercress, and citrus curls.