Preheat oven to 400 F degrees. Place the eggplant, zucchini, onion, and mushroom caps in a single layer on a baking sheet. Brush with most of the oil and sprinkle with salt and pepper. Roast for 20 minutes, flipping halfway through roasting.
Cut the rolls in half and brush with olive oil. Heat a large skillet over medium heat. Place rolls cut down and toast for 3-4 minutes until slightly toasted and golden brown. Remove the rolls and add the pepper and tomatoes to warm.
Spread the cream cheese evenly on the top and bottom of each roll. Add a round of eggplant on the bottom of each roll. Top with pesto. Repeat with each vegetable layering on the pesto then top with bun. A long toothpick can be helpful for keeping the sandwiches together.
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