Preheat your oven to 350°F.
In a large skillet, heat olive oil over medium heat. Add the chopped onion and garlic, sautéing until the onion is translucent, about 5 minutes.
Add the chopped mushrooms and grated carrots to the skillet, cooking for another 5-7 minutes until the mushrooms are softened.
In a large mixing bowl, combine the cooked lentils, sautéed vegetable mixture, rolled oats, chopped walnuts, nutritional yeast, soy sauce, thyme, rosemary, smoked paprika, black pepper, and salt. Mix well until all ingredients are evenly incorporated.
Gradually add the vegetable broth to the mixture, stirring until the mixture holds together but is not too wet.
Transfer the mixture to a greased loaf pan, pressing it down firmly to shape it.
Bake in the preheated oven for 45-50 minutes, or until the top is golden brown and firm to the touch.
Let the roast cool for about 10 minutes before slicing and serving.