Preheat oven to 450 degrees F (230 degrees C). Lightly spray a cookie sheet with vegetable cooking spray.
Place the asparagus and mushrooms in a bowl. Drizzle with the olive oil, then season with thyme, salt, and pepper; toss well. Lay the asparagus out on the prepared pan in an even layer. Roast in the preheated oven until the asparagus is tender, about 15 minutes.