Prepare a baking tray lined with parchment paper or a baking mat.
Preheat the oven to 400 F.
Wrap a bacon slice around each brussels sprout, and secure with a toothpick. Place in a single layer on the baking tray.
Bake at 400 F until the bacon is crispy and the brussels sprouts are very tender, about 40 minutes.
Combine mayonnaise and balsamic vinegar together in a small bowl. Stir until smooth.
Serve the bacon wrapped brussels sprouts with the balsamic mayonnaise dip.