Step 1

Preheat oven to 400°. Toss beets with 2 Tbsp. oil in a 13x9" baking dish; season with salt. Add thyme and ¼ cup water. Cover with foil and roast beets until a paring knife slips easily through flesh, 60–75 minutes. Let cool slightly, then rub skins from beets with paper towels; cut into 1" pieces. Toss in a large bowl with vinegar and 2 Tbsp. oil; season with salt.

Step 2

Meanwhile, place peppers on one side of a rimmed baking sheet and pecans on the other side and roast, tossing nuts once, until peppers start to blister and pecans are slightly darkened and fragrant, 6–8 minutes. Let cool; coarsely chop.

Step 3

Toss peppers, pecans, and onion with beets; season with salt. Drizzle with chili oil and top with Pecorino.

Step 4

Do Ahead: Beets can be roasted 3 days ahead. Cover and chill.