Toss the Brussels sprouts and mushrooms in a bowl with the olive oil, salt, and pepper. Transfer to a rimmed baking sheet and bake for about 20 minutes, or until nicely browned.
While the veggies are roasting, bring the water to a boil in a large saucepan. Reduce the heat to low and slowly whisk in the polenta and continue to whisk constantly until the polenta is thickened, about 3 minutes. Remove from heat and stir in ½ cup of Parmesan, sage, and salt and pepper to taste.
Divide the polenta into 4 bowls and top each with ¼ of the roasted veggies and 1 tablespoon of Parmesan cheese.
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