Preheat your oven to 350F with a rack in the middle position. Line a baking tray with parchment paper. Have a small bowl of water at the ready.
Making the Meatballs
Combine all of the meatball ingredients together in a large bowl. Mix them well until the mixture is smooth.
Dipping your finger in the prepared bowl of water, shape 24 meatballs of 1-inch in diameter. Having wet fingers will prevent the meatballs from sticking to your hands while shaping.
Place the shaped meatballs on the lined baking tray. Place into the preheated oven for 16-18 minutes. The internal temperature of the meatballs should be at least 165F.
Making the Gravy
In a large skillet on medium heat, melt the butter. Once the butter is melted whisk in the flour. Keep whisking the butter and flour until smooth to create the roux.
Once the roux starts to bubble, add in the broth. Whisk the gravy until it thickens and starts to simmer.
When the gravy has thickened, turn the heat off. Add the Dijon, Worcestershire Sauce, and Greek yogurt to the gravy and whisk them in until well combined.
Add the fully cooked meatballs into the gravy and stir to cover them in sauce.