Make your veggie side dishes first! Preheat the oven to 400°F (200°C).
If you haven't already, cut the delicata squash in half lengthwise and scoop out the seeds. (Save the seeds for roasting later.) Chop the onion and slice (the (trimmed) Brussels sprouts into halves or quarters.
Place the veggies in a large metal roasting pan. Put the delicata squash halves in the pan cut side up. Drizzle the vegetables with the olive oil and sprinkle with salt and pepper.
Roast the veggies in the preheated oven for about one hour. Flip and stir the onions and Brussels sprouts about halfway through the cooking time. Air fry the chicken nuggets while your veggies cook.
Spread the nuggets out in a single layer on two air fryer trays. Try to make sure the nuggets aren't touching for optimal air fryer air circulation.
Air fry the frozen nuggets for 10 minutes at 400°F (200°C). Then, flip the chicken nuggets over and switch the position of the air fryer trays in the oven.
Air fry your nuggets for an additional 10 minutes at 400°F (200°C). They should reach a safe minimum internal temperature of 165°F (74°C) and the chicken nugget breading should be nice and crispy.
To serve: divide the nuggets and veggies between three plates. Add two tablespoons of dipping sauce to each plate. Enjoy!