Adjust the oven rack to the upper-middle position and heat the oven to 500°F. Brush a rimmed baking sheet with oil, then arrange the eight whole mushroom caps gill-side down on the sheet and brush the tops with oil.

Roast until the mushrooms are tender, about 10 to 12 minutes. Remove the baking sheet from the oven, flip the mushrooms so they are gill-side up, and season with salt and pepper.

Microwave the spinach, water, and salt in a covered bowl until the spinach is completely wilted, about 2 minutes. Drain the spinach in a colander, let it cool enough to handle, then squeeze it in a clean dish towel to remove as much excess liquid as possible before chopping it coarsely.

Heat the remaining oil in a large skillet over medium-high heat until it shimmers. Add the onion and cook until softened, then stir in the chopped mushrooms and cook until they begin to release their liquid, about 4 minutes.

Stir in the garlic and cook until fragrant. Pour in the sherry and simmer until the liquid has completely evaporated, about 2 minutes.

Remove the skillet from the heat and stir in the chopped spinach, Gorgonzola, and walnuts until the mixture is well-combined and heated through. Season the filling with salt and pepper to taste.

Spoon the filling into the roasted mushroom caps, pressing it down firmly with the back of the spoon to create a flat surface, then sprinkle the panko evenly over the top.

Bake until the panko is deeply golden and the filling is hot, 5 to 10 minutes. Serve immediately while the topping is still crisp.