Preheat the oven to 450 degrees F. On top of a flat dinner plate, whisk together yogurt, mayonnaise, Dijon, lemon juice, salt and pepper. Put breadcrumbs on another plate.
Grease a large, rimmed baking sheet or line it with parchment paper. Roll asparagus in yogurt mixture to coat, then in breadcrumbs so spears are well breaded. Transfer to the prepared baking sheet. At this point, the asparagus may be covered and refrigerated for several hours before baking.
Drizzle asparagus with the olive oil or–even better–spray lightly with an olive oil mister. Then roast asparagus, turning halfway through, for 8-12 minutes, depending on thickness. The spears should be golden brown and tender but still have some bite. For the batch pictured, which were quite thick, I roasted six minutes, turned, and roasted six more minutes. Very thin spears may require 5-6 minutes total.