Preheat the oven to 400°F. Line a baking sheet with parchment paper.
Pour the Brussels sprouts onto the baking sheet. Drizzle on the olive oil, then season with salt and pepper. Roast for 22 minutes.
Heat the cooking oil in a pan over medium-high heat. Once hot, add the shallots and cook until golden brown, about 7 minutes. Using a slotted spoon, transfer them to a paper towel to drain. Season with salt and pepper.
Return the skillet to medium-high heat. Add the butter. Once melted, add the mushrooms and cook, stirring occasionally, until the mushrooms are golden-brown and slightly reduced, about 8 minutes. Season with salt.
Stir in the broth. Cook until the wine is reduced by half. Add the heavy cream and cook at a low bubble until slightly thickened, about 3-5 minutes.
When the Brussels sprouts are done, add them to the pan and toss to coat in the cream sauce.
Season to taste with salt and pepper and serve topped with fried shallots.