Preheat oven to 400. Trim ends and core each brussels sprout. Slice in half lengthwise and drizzle with olive oil. Sprinkle with kosher salt and pepper.
Bake for 30-40 minutes, moving them around on the pan a couple times to cook them evenly. Keep roasting until the brussels sprouts are lightly browned and caramelized. Finish with more kosher salt to taste and fresh lemon zest.
To serve, spread Romesco sauce on a platter, top with brussels sprouts, pickled onions and cheese. See recipes for romesco and pickled onions in recipe notes.