Preheat the oven to 400 degrees . Place the squash cut side up on a rimmed baking sheet. Brush with the melted butter and season with salt and pepper. Bake until brown on the edges and fork-tender at the thickest part, about 1 hour.
Meanwhile, melt 1 1/2 tablespoons butter in a large soup pot over medium heat. Add the onion and celery, season with salt and pepper and cook, stirring occasionally, until softened, 6 to 7 minutes.
Melt the brown sugar and remaining 1 1/2 tablespoons butter in a small skillet over medium-low heat. Add the pecans, chili powder and 1/2 teaspoon salt and cook, stirring, until the nuts are toasted, about 5 minutes. Let cool.
Scoop the squash flesh from the skins and add to the soup pot. Add the broth and milk and bring to a simmer, stirring occasionally. Using an immersion blender, puree the mixture in the pot, over low heat, until smooth (or transfer in batches to a blender and puree). Serve in bowls, topped with the pecans.