Preheat oven to 425°F.
In a shallow baking pan, place sweet potatoes, mixed root vegetables, and shallots. Drizzle with oil and toss to coat. Arrange vegetables in a single layer. Roast 15 minutes.
Cut sausage into 3 portions, then halve each portion lengthwise. Stir vegetables and push to one side of the pan. Place sausage, cut side down, on other side of the pan. Roast for 10 minutes more or until sausage begins to brown and vegetables are tender. Season with rosemary, salt, and pepper.
For sauce, stir together the yogurt, mayonnaise, horseradish, and Worcestershire. Serve sausage and vegetables with sauce.