Brush the butternut squash slices with olive oil and place them on a rimmed baking sheet. Season with salt and pepper. Bake 40-45 minutes or until tender and just beginning to brown on edges, turning halfway through cooking time.
Brush one side of each slice of bread with olive oil. Divide the squash, mozzarella, and sage evenly onto the non-oiled sides of 4 bread slices. Top with remaining slices of bread and grill until golden brown, about 8 minutes.