Preheat oven to 400°F (200°C).
Toss trimmed Brussels sprouts with olive oil, salt, and pepper on a large baking sheet.
Arrange sprouts in a single layer, cut-side down, and roast for 20 minutes until edges are charred and centers are tender.
In a small bowl, whisk together mayonnaise, Mexican crema, chili powder, smoked paprika, minced garlic, and lime juice until smooth.
Transfer the roasted Brussels sprouts to a large mixing bowl while still hot.
Add the dressing to the sprouts and toss until evenly coated.
Fold in the crumbled cotija cheese and chopped cilantro.
Serve immediately as a side dish.