Preheat your oven to 180°C (350°F) and line a baking sheet with parchment paper.
In a food processor, pulse the soaked walnuts until coarsely chopped, with some texture remaining.
Add cooked lentils and sautéed mushrooms to the processor and pulse until mixture is chunky but well combined.
Transfer the mixture to a mixing bowl, then stir in minced garlic, chopped thyme, sage, breadcrumbs, smoked paprika, black pepper, and a pinch of salt. Mix until evenly incorporated.
Shape the mixture into a loaf shape on the prepared baking sheet, pressing gently to firm it up.
Use a pastry brush to lightly coat the top and sides of the loaf with olive oil, which will help it crisp and brown nicely.
Bake in the oven for 40-45 minutes, until the exterior is golden and slightly crispy, and the loaf feels firm to the touch.
Once baked, remove the loaf from the oven and transfer it to a cooling rack. Let it rest for about 10 minutes to set, which makes slicing easier.
Slice the loaf thickly and serve with your favorite seasonal vegetables and a generous drizzle of vegan gravy or sauce.