Preheat oven to 300 degrees. Line a baking sheet with parchment paper.
Lay pretzels in a single layer on a baking sheet, then place one unwrapped Rolo candy in the center of each pretzel.
Bake for 4 minutes or until the Rolo caramel piece begins to soften, but not melt.
Remove from the oven, then press 1 pecan into each Rolo candy. Allow the chocolate to set at room temperature for 1 hour, or you can refrigerate it for 10 minutes. Enjoy!