Preheat oven to 400°F and line a baking sheet with parchment paper.
Brush cut sides of acorn squash with olive oil, season with salt and pepper, and place cut-side down on baking sheet.
Roast squash for 35-40 minutes until tender and caramelized, then flip and set aside.
While squash roasts, cook macaroni according to package directions until al dente, drain and set aside.
In a saucepan, melt butter over medium heat, whisk in flour and cook for 1 minute.
Gradually add milk, whisking constantly until sauce thickens, about 4-5 minutes.
Remove from heat and stir in cheddar cheese, Parmesan, thyme, salt, and nutmeg until smooth.
Scoop out about 1/4 cup of cooked squash from each half and mix into cheese sauce, then fold in cooked macaroni.
Divide mac and cheese among the four squash halves, sprinkle with panko breadcrumbs.
Return to oven and broil for 2-3 minutes until breadcrumbs are golden brown, then garnish with fresh parsley and serve.