Preheat the oven to 450 degrees F (230 degrees C).
Toss Brussels sprouts in olive oil. Arrange on a baking sheet, cut-side down. Season with salt and pepper.
Bake in the preheated oven until Brussels begin to get tender, about 10 minutes. Remove from the oven; sprinkle with sliced almonds. Return to the oven and continue cooking until sprouts begin to crisp and brown on the edges and almonds are toasted, 15 to 20 minutes more.
Remove from the oven and transfer to a medium serving bowl. Add Manchego cheese, lemon juice and lemon zest; mix until sprouts are well coated. Season with salt and pepper.