Preheat oven to broil. Line a rimmed baking sheet with aluminum foil.
In a large bowl, combine asparagus, olive oil, salt, and pepper, gently tossing to coat asparagus. Arrange in an even layer on prepared pan. Arrange lemon and orange slices over asparagus.
Broil on center rack, until asparagus are slightly browned and tender, 4 to 5 minutes. Remove from oven. Remove lemon and orange slices. Sprinkle with cheese. Garnish with lemon and orange, if desired.
Recipe by Southern Lady Magazine at https://southernladymagazine.com/roasted-asparagus-with-citrus-recipe/