Preheat the oven to 400°. On a large rimmed baking sheet, toss the Brussels sprouts and squash with 2 tablespoons of the olive oil and season with salt and pepper. Roast the vegetables for about 20 minutes, or until tender.
In a large, deep skillet, heat the remaining 1 tablespoon of olive oil. Add the bacon and cook over moderate heat until crisp, about 5 minutes. Add the onions and cook, stirring occasionally, until browned, about 10 minutes. Stir in the apple and cook until it starts to soften, about 2 minutes. Gently stir in the roasted Brussels sprouts, squash and sage, then pour in the cider. Simmer over moderately high heat until the cider has almost evaporated, about 10 minutes. Season with salt and pepper. Transfer the vegetables to a bowl and serve immediately.