Preheat oven to 400 degrees. Place brussels sprouts on a large baking sheet and drizzle with olive oil. Sprinkle with salt and pepper. Place in oven and bake for 15 minutes.
While sprouts are cooking place diced bacon in small skillet and cook over medium heat until crisp. Remove to paper towel lined plate.
Whisk together horseradish, honey and mustard in small saucepan. Heat over medium heat for 5-7 minutes until thoroughly heated.
Remove brussels sprouts from oven and place in large bowl. Toss sprouts with bacon and the glaze. Serve immediately.