Preheat the oven to 425°F (220°C) and line a baking sheet with parchment paper.
In a large mixing bowl, combine the halved Brussels sprouts with the corn kernels.
Drizzle the olive oil over the Brussels sprouts and corn, add the chili powder, smoked paprika, salt, and black pepper, and toss until evenly coated.
Spread the Brussels sprouts and corn mixture onto the prepared baking sheet in a single layer.
Roast in the preheated oven for about 20 minutes, stirring halfway through.
Remove from the oven and let cool slightly. In a separate bowl, whisk together the lime juice and add it to the roasted veggies.
Sprinkle the crumbled cotija cheese and chopped cilantro over the top, tossing gently to combine.
If desired, garnish with diced avocado before serving.