Heat oven to 400 F.
To make the roasted vegetables: On sheet pan, combine the peppers, squash, Brussels sprouts, thyme, salt, pepper and olive oil. Toss all the ingredients to coat with seasoning and oil.
Roast in oven for 45-50 minutes, turning veggies with a spatula halfway through the baking time. Cool completely.
To make avocado cream: In a food processor, combine the avocado, garlic, lemon, olive oil, salt and cayenne. Pulse until creamy.
Divide the arugula among 4 plates and top each one with roasted veggies and a drizzle of avocado cream.