Preheat oven and prepare baking dish: Preheat the oven to 400°F. Butter an 8 x 12-inch gratin or casserole dish.
Blanch the Brussels sprouts: Fill a large pot with 4 quarts of water plus 1 tablespoon salt. Bring to a boil. Add the halved Brussels sprouts and blanch for 3 to 4 minutes, until just barely tender. Remove from heat. Drain in a colander and rinse with cold water to stop the cooking. Set aside.
Brown the pancetta and render the fat: Place diced pancetta in a large pot on medium low heat. Cook until most of the fat is rendered, about 8 to 10 minutes. Remove the pancetta from the pan and set aside, leaving the rendered fat in the pan.
Sauté shallots: Add butter to the pot and melt on medium heat. Add the shallots and gently cook until softened, about 4 to 5 minutes.
Make roux: Add the flour to the butter shallot mixture. and whisk for 1 to 2 minutes. Slowly add the milk while stirring with a wooden spoon until the roux is incorporated into the milk. Cook over medium low heat for several minutes, stirring until the sauce thickens and coats the back of your spoon. Add fresh thyme and sprinkle with nutmeg.
Add cheese, then half of the pancetta to white sauce: Add 3 ounces of grated Gruyere cheese into the white sauce and stir until the cheese is melted and incorporated into the sauce. Add half of the cooked pancetta back to the sauce. Taste and add more salt, if necessary.
Add Brussels sprouts, transfer to gratin dish, prepare, and bake: Add the Brussels sprouts into the cheese sauce and toss to coat. Transfer the cheesy Brussels sprouts into the prepared casserole or gratin dish. Sprinkle with the remaining pancetta and the remaining 1 ounce of grated Gruyere cheese. Bake for 25 minutes until top is lightly browned and bubbly. Remove from oven and let sit for 10 minutes before serving. Did you love the recipe? Give us some stars and leave a comment below!