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Heat oven to 450 degrees. Cut the cabbage in quarters lengthwise through the core, then cut out the cores and stem.
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Place wedges on a rimmed sheet pan. It’s OK if the pan seems a bit crowded; the wedges will shrink as they roast, but try not to overlap them if possible. Lightly drizzle them with oil and season with salt.
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In a small bowl, combine Parmesan, anchovies, garlic, thyme and black pepper. Stir in ½ cup oil to make a loose paste. Massage paste into each cabbage wedge, stuffing the mixture in between the leaves.
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Lightly drizzle cabbage with a little more oil. Roast until cabbage is lightly browned in spots, 25 to 30 minutes. If you're roasting a squash too, throw it in a little bit earlier!
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Remove pan from oven and sprinkle walnuts all over the top of the cabbage. Roast for another 5 minutes or so, until cabbage is tender and caramelized and the walnuts are golden and toasted.
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Sprinkle cabbage with more Parmesan and black pepper, if you’d like. Serve immediately.