Toss pumpkin with olive oil and salt in a baking dish. Bake in preheated oven for 45 minutes or until pumpkin is soft and tender.
15 minutes before the end of baking, heat bechamel sauce and Gorgonzola together while stirring constantly. Season with salt, pepper and nutmeg.
Peel apples, remove core and thinly slice.
Remove baking dish from oven (leave oven on) and take out half of the pumpkin. Smooth out pumpkin in dish and layer apples on top of it. Cover with half of the bechamel sauce and spread out evenly.
Continue with the remaining pumpkin, apples and the bechamel sauce. Season with pepper and cover with foil. Bake in the preheated oven for 45 minutes. Remove foil and bake another 10 minutes. Let rest 10 minutes, but serve hot.