To prepare horseradish sauce, spoon yogurt onto several layers of heavy-duty paper towels; spread to 1/2-inch thickness. Cover with additional paper towels; let stand 5 minutes. Scrape into a bowl using a rubber spatula; stir in horseradish and 1/4 teaspoon salt. Cover and chill.
Preheat oven to 450°.
To prepare vegetables, cook carrot in boiling water 5 minutes or until tender; drain. Combine carrot, parsnip, and next 8 ingredients (parsnip through thyme) in a shallow roasting pan coated with cooking spray. Bake at 450° for 20 minutes; stir. Reduce oven temperature to 400° (do not remove vegetables from oven); bake an additional 30 minutes or until vegetables are tender. Discard thyme. Serve with horseradish sauce.
Note: Small round red potatoes can be substituted for fingerlings, if desired.