Preheat the oven to 300 degrees. Line a baking sheet with parchment paper.
Cut the apples into small, bite-sized pieces. To help prevent browning, soak the apple pieces in a bowl of water and lemon juice for 5 minutes. Drain and pat dry before using.
Arrange the pretzels in a single layer on the prepared baking sheet. Place one unwrapped Rolo candy in the center of each pretzel.
Bake for 5 minutes, or until the Rolos begin to soften but are not completely melted.
Remove from the oven and immediately press one apple piece into the center of each softened Rolo. Enjoy!