Preheat your oven to 400°F (200°C). Cut the tops off the bell peppers and remove the seeds and membranes, then set aside.
Place the peppers on a baking sheet, cut side up, and roast in the oven for about 15 minutes until they start to soften and blister slightly.
While the peppers roast, heat olive oil in a skillet over medium heat. Add the sliced onions and cook, stirring occasionally, until they turn golden brown and caramelize, about 10 minutes.
Add the chopped sage to the onions and cook for another minute until fragrant. Then, stir in the roasted squash and season with salt and pepper to taste. Mix well and remove from heat.
Once the peppers are roasted and slightly cooled, gently stuff each pepper with the vegetable mixture, pressing lightly to fill evenly.
Sprinkle the shredded cheese over the top of each stuffed pepper, then return them to the oven and bake for an additional 15 minutes until the cheese melts and turns bubbly, and the peppers are completely tender.
Remove from the oven, let cool slightly, and serve warm. The peppers should be soft and bursting with colorful filling, topped with a golden cheese crust.