1 Preheat the oven, prepare the baking dish: Preheat the oven to 375℉.
2 Slice the vegetables: Using a mandoline or a very sharp chef’s knife, cut the parsnips and carrots diagonally into slices about 1/8-inch thick. Halve the fennel, then cut into slices about 1/8-inch thick.
3 Sauté the aromatics and fennel: Melt the butter in a sauté pan over medium-high heat. When the butter is foamy, add the shallots, and cook until soft and translucent, about 3 minutes. Add the fennel, and cook until just tender, 4 minutes. Season with 1/2 teaspoon salt and 1/4 teaspoon pepper. Stir in the garlic and thyme, and cook until aromatic, another 30 seconds.
4 Layer the vegetables: Grease a large (2 quart) gratin dish or a 9-x-13-inch glass baking dish with butter. Layer half of the parsnips in the gratin dish, sprinkle with a pinch of salt and a grind of black pepper.
Top with half of the carrots, and season with another pinch of salt and grind of black pepper. Scatter half of the fennel mixture on top of the carrots.
Repeat with the rest of the parsnips and carrots, finishing with the remaining fennel mixture. Set aside.
5 Begin the béchamel: You’ll need two sauce pans, one small and one medium.
In a small sauce pan set over medium-low heat, add the milk and cream.
In a medium saucepan set over medium heat, add the butter. When the butter foams, whisk the flour into the melted butter, and cook until nutty smelling and light golden in color, about 3 minutes.
6 Add the milk to the roux: Slowly whisk the warm milk and cream a little bit at a time into the butter and flour mixture (roux) until combined. The sauce should be smooth.
Bring the béchamel to a simmer, keeping an eye on the heat and stirring frequently to prevent scorching. It will really start to thicken as it simmers.
Reduce the heat to medium-low, and simmer until the sauce is thick and coats the back of a spoon, about 4 minutes.
7 Remove from heat and add the cheese: Remove the béchamel from the heat and whisk in the blue cheese a few crumbles at a time. Season the sauce with salt, pepper, nutmeg, and a pinch of cayenne, if you want a little heat. Taste and adjust the seasoning, if desired.
8 Add the béchamel to the vegetables: Pour the warm béchamel over the top of the vegetables in the gratin dish and let sit for at least 15 minutes to allow the sauce to soak into the vegetables.
Scatter the pecans over the top of the gratin. (The gratin can be made ahead up to this point, then refrigerated until ready to bake.)
9 Cover and bake: Snugly cover the gratin with foil and bake for 45 minutes. Uncover and bake for another 20 minutes, or until the gratin is golden brown and bubbly, and the vegetables are tender when pierced with a knife.
10 Serve: Let rest 20 minutes before serving.