Preheat oven to 400ºF. On lightly floured surface, roll out each sheet into 10-inch square; working with one sheet at a time, cut each pastry sheet into 9 squares.
Place piece of Brie and some pecans in center of each square; drizzle with honey and sprinkle with thyme. Lightly brush each corner of puff pastry squares with egg; seal pastries by tightly pinching together opposite corners, then pressing together edges with tines of fork to seal completely. Freeze for 10 minutes.
Transfer pastries to two parchment paper–lined baking trays. Brush tops with egg wash; bake for 18 to 20 minutes or until pastry is golden brown and flaky. Let cool slightly.
Tip: Substitute Camembert or goat cheese for the Brie if desired.