Preheat oven to 400 degrees Fahrenheit. Line a baking sheet with foil. Place squash on baking sheet and toss with one tablespoon olive oil and salt and pepper. Bake for 15 minutes. Remove from oven. Lower oven temperature to 375 degrees Fahrenheit.
Meanwhile, in a small bowl, toss the Portobello mushrooms with a half tablespoon olive oil, balsamic vinegar, and salt. Set aside.
Add cauliflower and red onion to the baking sheet with the squash. Toss entire mixture with one additional tablespoon olive oil, thyme, salt and pepper. Bake for 20 minutes. Remove from oven.
Add Portobello mushrooms (with the marinade) to the baking sheet and toss to mix with other vegetables. Bake for 10 additional minutes. Serve warm or at room temperature.