Preheat the oven to 400 degrees F.
On a large baking sheet, toss the butternut squash cubes with the olive oil, salt, pepper and nutmeg.
Bake until the butternut squash is tender and just starting to brown in places.
Let the squash cool for about 10 minutes.
Transfer the squash to a food processor or heavy-duty blender, and add the vegetable broth. Puree until smooth.
Add the balsamic vinegar and pulse to combine.
Season to taste with salt and pepper.
