Place a rack in the middle of the oven. Preheat to 425°F. Wash, trim, and halve the Brussels sprouts. Place on a rimmed baking sheet and drizzle with 2 tablespoons of the olive oil. Season lightly with salt and pepper. Roast until the edges are golden, 10-15 minutes.
Meanwhile, heat a Dutch oven over medium heat with remaining 2 tablespoons of olive oil. Add the shallots, and saute 2 minutes, or until softened. Add the thyme, and saute 30 seconds more. Add the roasted Brussels sprouts to the Dutch oven, along with the soup, heavy cream, nutmeg, 1/2 cup cheese, and a pinch of black pepper. Stir to combine. Bring the mixture to a simmer, and cook for 5 minutes, or until Brussels sprouts are fork tender and sauce has thickened.
Set the oven to broil on high. Sprinkle the Brussels sprouts with remaining cheese. Broil on the middle rack for 5 minutes, or until cheese is melted and a few spots are golden. Remove, and enjoy!
This nutritional information refers to each serving of the entire recipe and not just the products used as ingredients.