Adjust the oven rack to the upper-middle position and heat to 500°F. Brush a rimmed baking sheet with oil, lay 8 mushroom caps gill-side down on the sheet, and brush the tops with more oil. Roast until tender, 10 to 12 minutes, then flip the mushrooms gill-side up and season with salt and pepper.

Combine the spinach, water, and salt in a bowl, cover, and microwave until the spinach is wilted, about 2 minutes. Drain the spinach, squeeze it thoroughly in a clean dish towel to remove all excess liquid—the filling will be soggy if the spinach is wet—then chop it coarsely.

Heat the remaining oil in a large skillet over medium-high heat until it shimmers. Sauté the onion until softened, about 3 minutes, then add the chopped mushrooms and cook until they release their liquid and begin to brown, about 4 minutes. Stir in the garlic until fragrant, followed by the sherry; cook until the liquid has evaporated, about 2 minutes. Stir in the chopped spinach, Gorgonzola, and walnuts until the cheese begins to melt and the mixture is heated through.

Spoon the filling into the roasted caps, pressing it flat with the back of a spoon, and sprinkle the tops with panko. Return to the oven and bake until the crumbs are golden brown and the filling is bubbling, 5 to 10 minutes. Serve hot.