Preheat your oven to 400°F (200°C).
Place the butternut squash, carrots, parsnips, red onion, and garlic on a large baking sheet.
Drizzle the olive oil over the vegetables, and season with salt and black pepper.
Toss the vegetables well to ensure they are evenly coated with oil and seasoning.
Roast in the preheated oven for 30-35 minutes, or until the vegetables are tender and slightly caramelized. Stir halfway through roasting.
Remove the roasted vegetables from the oven and transfer them to a large pot.
Add the vegetable broth, dried thyme, dried rosemary, and ground nutmeg to the pot.
Bring the mixture to a boil over medium-high heat, then reduce the heat to low and simmer for 10-15 minutes.
Use an immersion blender to puree the soup until smooth. Alternatively, transfer the mixture to a blender in batches and blend until smooth, then return it to the pot.
If you desire a creamier texture, stir in the heavy cream and heat the soup gently without boiling.
Taste and adjust seasoning with additional salt or pepper if needed.
Serve the soup hot, garnished with chopped fresh parsley.