Preheat oven to 450 degrees. Arrange the Brussels sprouts on an aluminum foil-lined baking sheet and drizzle with the olive oil and toss until lightly coated. Season with salt and pepper to taste.
Roast for 20 to 25 minutes until the Brussels sprouts are tender and beginning to char on the outside. Let cool for 5 minutes.
In a large bowl, toss with the lemon juice and Pecorino. Taste, and season with additional salt and pepper if desired.