Preheat the oven to 400°F. In a bowl, toss the beets and carrots with 1 tablespoon olive oil, 1 tablespoon balsamic vinegar, thyme, salt, and pepper. Spread on a baking sheet and roast for 25 minutes until the edges begin to caramelize and the vegetables are tender.
While the vegetables roast, heat the remaining tablespoon of olive oil in a large pot over medium heat. Add the onion and cook for 5 minutes until softened. Stir in the garlic and cook for 1 minute more.
Add the lentils and vegetable broth to the pot. Bring to a boil, then reduce to a simmer and cook uncovered for 20 minutes, stirring occasionally.
Stir the roasted beets and carrots into the pot along with the remaining 2 tablespoons of balsamic vinegar. Continue simmering for 10 minutes until the lentils are fully tender and the stew has thickened slightly.
Taste and adjust salt and pepper if needed before serving.