Slowly Sauté the Onions: In a large heavy-bottomed pot or Dutch oven, warm the olive oil over low heat. Add the chopped onions and cook gently, stirring occasionally, until they become soft and translucent—this should take around 15 to 20 minutes. This slow cooking draws out the natural sweetness and creates a flavorful base.
Prepare and Add Squash and Apples: While the onions are cooking, peel and chop the butternut squash and apples into roughly uniform chunks. Add these to the pot once the onions are tender. Pour in 2 cups of chicken broth and bring the mixture to a boil. Then reduce the heat to low, cover the pot, and simmer gently until the squash and apples are tender and easily pierced with a fork—about 20 to 30 minutes, depending on the size of your pieces.
Make the Sage Parmesan Croutons: Meanwhile, preheat your oven to 375°F (190°C). Spread the bread cubes on a baking sheet. Drizzle with olive oil, sprinkle with minced sage and salt, then toss well to coat. Arrange the cubes in a single layer. Bake for 10 to 12 minutes, tossing halfway through, until the croutons are crisp and golden. Remove from oven, sprinkle Parmesan cheese over them, toss again to evenly distribute the cheese, and set aside.
Puree the Soup to Creamy Perfection: When the squash and apples are fully cooked, use an immersion blender to puree the soup directly in the pot until smooth and velvety. Alternatively, carefully transfer the mixture in batches to a food processor and blend until silky. Return the soup to the pot.
Adjust Consistency and Seasonings: Stir in 1 cup of the remaining chicken broth, and add more if you prefer a thinner texture. The soup will thicken slightly as it cools and sits. Season with salt, freshly grated nutmeg, black pepper, and cayenne pepper. Taste and adjust seasonings as needed for your preferred balance of warmth and spice.
Serve and Garnish: Ladle the hot soup into bowls and generously top with the sage parmesan croutons for a delightful crunch and herbaceous kick. Serve immediately and enjoy!