Preheat oven to 400°F (200°C). Cut squash in half and scoop out seeds. Cut each half again into quarters. Brush with olive oil. Place on a baking sheet and roast 30-35 minutes or until squash is fork-tender.
While squash is roasting, heat butter in a large saucepan or Dutch oven over medium heat. Add diced onion and cook until slightly softened, about 5 minutes.
Add chopped carrot, celery, minced garlic, dried thyme, and ground sage. Cook until slightly softened, about 5-7 minutes more.
Once squash is roasted, scoop the flesh out of the skin and add it to the pot with the sautéed vegetables.
Pour in the chicken broth. Bring the mixture to a boil, then reduce heat, cover, and simmer for about 15 minutes, allowing flavors to meld.
Remove the pot from heat. Carefully blend the soup until smooth using an immersion blender or by transferring in batches to a regular blender (discard bay leaf and thyme stem if using fresh).
Return the smooth soup to a gentle simmer. Stir in heavy cream to taste for extra richness. Season with salt and pepper to your preference.