Trim the ends from the squash, then halve lengthwise, discarding the seeds. Transfer the squash, cut-side up, to a rimmed baking sheet lined with parchment or foil. Season with the salt and pepper and top with the shallots, honey, thyme, and butter. Cover the squash with foil. Roast until softened, 45 to 60 minutes.
Uncover and set aside until cool enough to handle. Working in batches, scoop some of the softened squash and shallots from the peels into a food processor. Puree the squash mixture until smooth. Transfer to a serving bowl. Repeat with the remaining squash and shallots. Serve warm. (You can cover and refrigerate the puree for up to 48 hours. To rewarm, heat in a covered saucepan over low heat for 10 minutes.)