Preheat the oven to 400°F (200°C). Grease a 9x13-inch baking dish.
Rinse the lentils in a fine-mesh strainer and pick out any small stones or debris.
Bring the vegetable broth to a boil in a small saucepan or kettle.
Place the rinsed lentils, diced potatoes, sliced mushrooms, frozen vegetables, and walnuts into the prepared baking dish.
Add the tomato paste, balsamic vinegar, soy sauce, rosemary, thyme, garlic powder, onion powder, and salt to the dish.
Pour the boiling vegetable broth over the ingredients and stir well to combine everything evenly.
Cover the baking dish tightly with aluminum foil or an oven-safe lid. Bake for 45 minutes.
Remove the dish from the oven and check the lentils and potatoes for tenderness. If they are still firm, cover and bake for 5 to 10 more minutes.
Stir the baked mixture and sprinkle the shredded cheese evenly over the top. Return to the oven uncovered for 5 minutes until the cheese melts.
Let the dish rest for 5 minutes before serving.