Preheat oven to 375°F.
Cut kabocha squash into chunks and slice red onion into half-moons.
Place ingredients in a bowl and season with salt, black pepper, and thyme. Drizzle with olive oil and honey, then incorporate well.
Line baking sheet (or dish) with parchment paper, place the marinated vegetables on it and transfer to oven.
Remove dish from oven after 25 minutes and sprinkle crumbled-up walnuts and feta cheese over vegetables. Continue baking for roughly another 20-35 minutes, or until desired tenderness is achieved. (Cooking time may vary depending on your preference for browning.)