Heat olive oil in a large pot over medium heat. Add onion, garlic, and jalapeño; cook 5 minutes until softened. Stir in cumin, chili powder, and smoked paprika; cook 30 seconds.

Stir in tomato paste and cook 1 minute. Add tomatoes, broth, lentils, and salt. Bring to a boil, then reduce heat and simmer, partially covered, for 20 minutes, until lentils are tender.

Remove about 2 cups of soup and blend until smooth (or use an immersion blender). Stir the blended portion back into the pot.

Ladle into bowls, squeeze a lime wedge over each, and top with cilantro and avocado. Serve hot.