Preheat the oven to 350° F. Cut the baguette into 1-½-inch pieces and spread them out on a large baking sheet. Place the baking sheet in the oven and toast the bread for about 15 minutes, until the bread is lightly browned and crispy. (Do not over-brown.)
Cook the vegetables and sausage
While the bread is toasting, dice the bell peppers and the onion. Place the diced vegetables in a large skillet along with the sausage, and cook everything over medium-high heat. Cook the mixture for about 12 minutes: the sausage should be browned with no pink remaining and the veggies will be softened. Remove the pan from the heat and drain off the liquid and fat.
Make the egg batter
Whisk together the eggs, salt, pepper, sage, and cayenne together in a large measuring cup with a spout or a large bowl. Add in the milk and whisk the mixture thoroughly.
Assemble the dish
Spray the sides and bottom of a 9" x 13" pan with nonstick spray.
Spread the toasted bread cubes over the bottom of the pan, then spread the sausage-peppers-onion mixture over the bread. Sprinkle about half of the cheese over the sausage. Pour the egg-milk mixture over everything, doing your best to get every bread cube! Sprinkle the remaining cheese over the top. Wrap the dish well with plastic wrap and refrigerate the casserole for 8 hours or overnight.
Preheat the oven to 350° F. Remove the plastic wrap from the pan. Scatter the diced scallion over the top. Bake the casserole for about 50 minutes: there should be no liquidy pockets remaining and the eggs should be set. Remove the pan to a cooling rack and let it rest for 10 minutes.
Slice the breakfast bake and serve it while warm. Leftovers can be wrapped and refrigerated for up to 3 days.
Notes
The overnight rest for this dish is important - it allows the bread to soak up the egg batter and creates a creamy texture throughout. Be sure to plan for this time as you get ready to make this recipe.
Instead of toasting the bread cubes you can instead leave the bread cubes out uncovered for a day or two until they're stale.
Use spicy or mild sausage in this bake, whichever you prefer. If you'd like a less spicy cheese on top, try shredded Cheddar or Jack cheese.