Preheat the oven to 400 Fahrenheit. Prepare a baking tray with parchment paper.
Peel butternut squash, cut in half lengthwise and remove seeds.
Place on the baking tray and put in the oven for 10 minutes. This allows the squash to soften and will make it easier to slice.
Remove from oven and carefully transfer to a wooden cutting board. Place squash between 2 wooden spoons and with a sharp knife cut slices by not cutting all the way through (refer to picture). Repeat the same with all squash and place on the baking tray.
Place bay leaves between the slices.
Mix olive oil, salt and pepper together. Brush butternut squash with the oil mixture.
Arrange brie on the same baking tray and bake for 10 minutes in the middle of the oven.
Remove from the oven and brush butternut squash with 2 tablespoons honey. Pour 1 tablespoon of honey on brie.
Add walnuts on baking tray.
Put the tray back in the oven and bake for another 20 to 25 minutes, until butternut squash is tender.
Remove from oven, serve warm and enjoy!