Preheat oven to 425°F. Coat a shallow 2 1/2-qt baking dish with cooking spray; set aside.
Place bread on a large rimmed baking sheet and coat with cooking spray; spread into an even layer and bake until toasted, 10 minutes.
Meanwhile, toss squash, Brussels sprouts, apples, fennel, shallots, 1 Tbsp oil, salt and pepper in a large bowl until combined; spread in a single layer over 2 large rimmed baking sheets and coat with cooking spray. Roast until browned and tender, stirring once and switching pans between oven racks halfway through baking, about 25 minutes.
Meanwhile, coat a large skillet with cooking spray and set over medium heat. Add bacon; cook until crisp, turning occasionally, 4-5 minutes. Drain on paper towels; coarsely chop.
Spoon roasted vegetables into a large mixing bowl; add bread, bacon, remaining 1 Tbsp oil, broth, egg, thyme, rosemary and sage and stir well. Spoon stuffing into prepared baking dish; coat top with cooking spray. Cover with foil; bake until hot, about 30 minutes. Uncover; sprinkle evenly with pecans. Bake until top is crispy, about 10 minutes more; sprinkle with parsley.
Notes