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Step 1
Thaw out your puff pastry sheet until you can easily unfold the sheet. Preheat the oven to 400°F. Once your sheet has thawed, unfold it so that you have one large square of Puff Pastry.
Step 2
Warm the brie in the microwave for about 15 seconds, just until the brie has softened and slightly melted. Spread the brie all over the Puff Pastry.
Step 3
Scoop out the cranberry jelly and smear it all over the brie-covered Puff Pastry. Sprinkle the chopped walnuts all over.
Step 4
Now, grab one of the short sides of the Puff Pastry square and make a skinny fold inward. Do the same thing on the opposite side of the Puff Pastry square. Continue alternating folding inward until the two Puff Pastry sides meet each other. Once they do, pinch the folds together to keep the seam shut.
Step 5
Take a very sharp knife and gently cut the Puff Pastry into 12 slices. Arrange these slices on a baking sheet covered with a sheet of parchment paper or a silicone mat. If your slices get pressed too flat in the cutting process, simply mold them into a rounder form by gently nudging the edges inward.
Step 6
Brush the sides and top ridges of each Puff Pastry slice with the beaten egg. Briefly refrigerate for 10 minutes. Then, bake for 20 minutes, until the palmiers are all golden and puffed up. Serve once they've cooled down to room temperature.