Preheat your oven to 425°F (220°C). Line a baking sheet with parchment paper.
In a large bowl, toss the halved Brussels sprouts with olive oil, salt, black pepper, chili powder, and smoked paprika until evenly coated.
Spread the Brussels sprouts in a single layer on the prepared baking sheet. Roast in the oven for 20-25 minutes, or until they are golden brown and crispy, stirring halfway through.
While the Brussels sprouts are roasting, prepare the sauce. In a medium bowl, mix together the corn, mayonnaise, sour cream, cotija cheese, lime juice, and cayenne pepper (if using) until well combined.
Once the Brussels sprouts are done roasting, remove them from the oven and let them cool for a few minutes.
In a large serving bowl, combine the roasted Brussels sprouts with the corn mixture. Toss gently to combine.
Garnish with fresh cilantro before serving.