Preheat your oven to 400°F (200°C).
On a large rimmed baking sheet, toss the halved Brussels sprouts and chopped red bell pepper with half of the olive oil, half of the sea salt, and half of the black pepper.
Roast the vegetables for 20-25 minutes, tossing halfway through, until they are tender and slightly caramelized.
While the vegetables roast, finely mince the rosemary, thyme, and garlic.
In a small bowl, combine the minced herbs and garlic with the remaining salt and pepper. Rub this mixture evenly over both sides of the lamb steak.
Heat the remaining olive oil in a cast-iron skillet over medium-high heat.
Place the lamb steak in the hot skillet and sear for 3-4 minutes per side for medium-rare, or until it reaches your preferred level of doneness.
Remove the lamb from the skillet and let it rest on a cutting board for 5 minutes to lock in the juices.
Slice the lamb against the grain and serve immediately alongside the roasted vegetables.