Heat 2 teaspoons oil in a medium saucepan over medium heat and add the onion. Cook 4-5 minutes until softened. Stir in the sprig of thyme and bay leaf and cook another minute until fragrant. Add the rice and cook, stirring to coat all of the grains with the oil. Pour in the broth and bring to a boil. Reduce to a simmer, cover, and cook until rice is tender, about 40 minutes. Turn the heat off and let the rice steam an additional 10 minutes, then fluff with a fork. Remove the sprig of thyme and bay leaf and stir the dried cranberries into the warm rice.
Meanwhile, toss the squash on a baking sheet with 2 teaspoons olive oil and 1 teaspoon thyme. Season with a pinch of salt and pepper.
Toss the shaved Brussels sprouts on a second baking sheet with 1 tablespoon olive oil. Season with a pinch of salt and pepper.
Place both baking sheets in the oven and roast until tender (10-12 minutes for the Brussels sprouts and 15-18 minutes for the squash). Remove from oven.
In a large bowl, combine the rice, squash, Brussels sprouts and pecans and stir to combine. Divide into bowls or if serving as a side dish, transfer to a serving platter.