Bring a large saucepan of water to a boil. Melt butter in a large pot over medium. Add flour and whisk until smooth, about 1 min. Whisking constantly, gradually add broth, cream and cayenne. Reduce heat to medium-low and simmer, whisking, until sauce is thick enough to coat the back of a spoon, 4 to 6 min.
Add brussels sprouts to boiling water and cook until tender-crisp, 5 to 7 min. Add peas during last 2 min of cooking. Drain well. Stir peas and sprouts into cream sauce. Stir until well coated with sauce.