Preheat Oven: Preheat your oven to 375°F (190°C).
Cook Mushrooms: Heat olive oil in a large skillet over medium heat. Add shallots and garlic, sautéing for 1-2 minutes until fragrant. Add mushrooms and cook for 7-10 minutes, stirring occasionally, until they release their moisture and turn golden. Season with salt and pepper.
Mix Dip: In a large bowl, combine cream cheese, sour cream, mayonnaise, Parmesan, Gruyere, thyme, and cayenne (if using). Fold in the cooked mushroom mixture until evenly mixed.
Bake: Transfer the mixture to a 1-quart oven-safe dish or cast-iron skillet. Spread evenly. Bake for 20-25 minutes, until bubbly and golden on top.
Garnish and Serve: Remove from oven, sprinkle with fresh parsley, and let cool for 5 minutes. Serve warm with sliced baguette, crackers, or veggies.