Preheat the oven to 400°F (200°C).
In a large mixing bowl, combine the ground beef, breadcrumbs, milk, Parmesan cheese, egg, Worcestershire sauce, minced garlic, dried thyme, and a pinch of salt and pepper. Mix until all ingredients are well combined.
Shape the mixture into meatballs, about 1-1.5 inches in diameter, and place them on a baking tray lined with parchment paper.
Bake the meatballs in the preheated oven for about 20 minutes, or until cooked through (internal temperature should reach 165°F (74°C)).
While the meatballs are baking, heat a skillet over medium heat and add the sliced onions. Cook, stirring occasionally, until the onions are caramelized and golden brown, about 15 minutes.
Once the onions are caramelized, add the beef broth and let the mixture simmer for a few minutes until slightly thickened.
Once the meatballs are done baking, add them to the skillet with the onion gravy. Stir gently to coat the meatballs in the sauce, then sprinkle the shredded Gruyère cheese on top of the meatballs.
Cover the skillet with a lid or aluminum foil and let it simmer on low heat for about 5 minutes, or until the cheese is melted and bubbly.
Garnish the dish with freshly chopped parsley before serving.