Preheat the air fryer on Roast at 350°F and set the cooking time for 20 Minutes. If using a toaster oven-style air fryer, line the cooking pan with parchment paper.
Add the squash and Brussels sprouts to a large mixing bowl. Drizzle in the olive oil and maple syrup, then sprinkle in the sage, salt, and pepper. Toss until the vegetables are evenly coated.
Transfer the vegetables to the lined cooking pan or, if using a basket-style air fryer, to the air frying basket. Roast the vegetables in the preheated air fryer.
When there are 5 Minutes left in the baking time, sprinkle the walnuts on top of the vegetables. Return to the air fryer for the rest of the cooking time.
When the cooking program ends, transfer the vegetables to a serving dish and serve right away.