Preheat the oven to 375 degrees . In a large bowl, toss the turnips, carrots, parsnips and fennel with the olive oil; season with salt and pepper. Divide the vegetables between 2 rimmed baking sheets. Roast, turning occasionally, until tender, about 1 hour; transfer to a large bowl.
Meanwhile, in a small skillet, cook the butter over medium heat, stirring frequently, until golden-brown, about 5 minutes; stir in the sage and season with salt and pepper. Add to the vegetables and toss to coat.