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Preheat the oven to 200C (400F) and line a large baking sheet with parchment paper.
Chop the pumpkin, cauliflower, and parsnip into approximately equal pieces, about 3cm (1in.). The cauliflower florets can be a bit larger.
Place the vegetables onto the prepared tray and mix with the onion, garlic, sage, rosemary, olive oil, salt, and pepper. Roast for 20-25 minutes, or until softened and lightly golden. Chill for at least 20 minutes in a cool spot before assembling.
Preheat the oven to 200C (400F) again and grease a baking dish. About 20cm (8 inches) in size will be good, but a bit larger or smaller is fine too.
Once the vegetables have cooled, roll out the puff pastry between two sheets of parchment paper. Place the pastry into the middle of the baking dish, with the sides overhanging the dish.
Add the vegetables to the middle of the dish. Fold the pastry over and gently press with your fingers to seal. Brush with the egg (if using) and cut a few slits into the top of the pie with a sharp knife.
Bake for 30-35 minutes, or until very golden. Serve hot.