Steam butternut squash, sweet potato, red potatoes, broccoli, peas, carrot and parsnip until tender, drain and mash with a little milk, if needed. Season with salt, pepper and curry powder. Cover and chill for 30 minutes.
Preheat oven to 220 C / Gas 7.
Cut each pastry sheet into four. Place roughly one tablespoon of vegetable mixture on each quarter and roll into a little tube, closing the ends by pressing down with a fork.
Spray baking trays with olive oil spray and place rolls on trays. Stab the rolls with a fork a few times and brush each with the egg wash.