Preheat oven to 350°F.
Toss Brussels sprouts in olive oil and season with salt and pepper. Place on sheet pans lined with foil and roast at 350°F for 15–20 minutes or until tender.
While Brussels sprouts are roasting, sauté mushrooms and shallots in butter over high heat until golden brown. Strain mushroom and shallot mixture and transfer to a separate container. Reserve liquid.
Deglaze pan with a cup or two of water. Add mushroom liquid, deglazing liquid, and reduced wine to a measuring pitcher. Add water if necessary to reach 3 qt. of liquid. Bring to a boil.
Whisk gravy mix into 1 qt. cool water. Whisk slurry into boiling liquid and simmer for 1 minute.
Add mushrooms to gravy. Simmer for 10 minutes, stirring occasionally. Add cream and simmer for 5 more minutes.
Place roasted Brussels sprouts in a large bowl. Pour gravy mixture over Brussels sprouts and stir to evenly coat all pieces. Serve warm.