Preheat the oven to 400°F and line a baking sheet with tin foil.
Make the aioli: In a small bowl, combine mayonnaise, Greek yogurt, minced garlic, lemon juice, salt, and pepper. Mix well and set aside.
Assemble the bacon-wrapped Brussels sprouts: Cut 10 pieces of thick-cut bacon in half, making 20 pieces in total. Place a piece of bacon flat on the baking sheet, then put a Brussels sprout at the top and roll it up. Ensure the seam side is facing down on the baking sheet. Repeat for all.
Spread out the bacon-wrapped Brussels sprouts so they're not touching, then bake for 30-40 minutes, depending on how crispy you prefer your bacon.
Serve immediately with the prepared aioli.
Notes
Save time by making the aioli ahead of time, even the day before.
For an extra flavor kick, add 2 tablespoons of grated Parmesan cheese to the aioli.