Wash the Brussels sprouts and cut each head of cabbage into halves. Preheat the oven to 220 degrees. Mix the Brussels sprouts, water, oil, salt, and pepper.
Place in a baking dish, cut side down. Cover and bake the Brussels sprouts in the oven for 10 minutes. Open and bake the cabbage with olive oil until golden brown and soft, another 10-12 minutes. Oven-baked Brussels sprouts are ready.