Coat the bottom of a large pot with the olive oil and place it over medium heat.
Whisk in the flour. Cook the flour, whisking constantly, until it darkens in color a bit and begins to smell nutty, about 5 minutes.
Stir in the onion, pepper and celery. Cook the vegetables, for about 5 minutes, until they begin to soften, stirring frequently to prevent the flour from burning.
Add the garlic to the pot and cook it with the vegetables for about 1 minute, until very fragrant, stirring constantly.
Stir in the broth, tomatoes, okra, Worcestershire sauce, paprika, thyme, pepper, oregano, cayenne pepper, and bay leaf. Raise the heat and bring the liquid to a boil.
Lower the heat and allow the mixture to simmer, stirring occasionally, until the broth is thick and the veggies are tender, about 30 minutes.