Step 1

Preheat oven to 475°.

Step 2

Spread pancetta on a rimmed baking sheet and roast, tossing once halfway through, until lightly browned for about 5 minutes.

Step 3

Transfer pancetta to a large bowl; reserve baking sheet.

Step 4

Add Brussels sprouts, shallots, garlic, butter, black pepper, and 1 tbsp thyme to bowl with pancetta and toss to coat.

Step 5

Scrape Brussels sprouts mixture into a 13×9″ baking dish.

Step 6

Roast gratin on bottom rack until tops of Brussels are browned, 15–20 minutes.

Step 7

Carefully toss to expose green Brussels below, then continue to roast until tops of Brussels are browned, 15–20 minutes more.

Step 8

Whisk cream and mustard in a large glass measuring cup.

Step 9

Arrange walnuts on the reserved baking sheet with pancetta drippings.

Step 10

Remove gratin from oven, carefully pour in cream mixture, and sprinkle cheese over.

Step 11

Reduce oven temperature to 375°. Return gratin to bottom rack, then place sheet with walnuts on the top rack.

Step 12

Roast, tossing nuts halfway through, until nuts are browned on both sides, 8–10 minutes, and cream is thick, vigorously bubbling, and browned around the edges, 15–20 minutes.

Step 13

Let gratin cool 10 minutes.

Step 14

Meanwhile, chop walnuts and transfer to a medium bowl.

Step 15

Add red pepper and remaining 1 Tbsp. thyme and toss to combine.

Step 16

Top gratin with the walnut mixture before serving.