Cut each brussels sprout in half and discard any discolored or detached outer leaves.
In a large mixing bowl, combine olive oil, lemon juice, and dill with a whisk. Add brussels sprouts to the bowl and toss to coat.
Roll each brussels sprout in the grated parmesan cheese before placing on a baking sheet lined with parchment paper or silicone baking mat. Continue until each piece is coated in parmesan.
Place brussels sprouts in preheated oven and bake for 20 minutes. Top with sea salt to taste and serve.