Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper or foil.
Place the squash, apple and onion on the baking sheet. Drizzle with the olive oil, season with salt and pepper, and toss to combine. Roast in the oven until fork tender, 40 to 45 minutes.
Make a sachet with the garlic, thyme, and bay leaf (tied in a bundle using cheesecloth and twine). Bring the chicken broth and sachet to a low boil in a stockpot over high heat. Add the squash, apple, and onion. Lower the heat to a simmer and cook about 20 minutes.
Remove from the heat and remove the sachet. Use an immersion blender, or transfer to a blender in batches, and blend until smooth and creamy. Season the soup with additional salt and pepper to taste. Serve immediately.