Preheat oven to 400°. Beat trimmed Brie on medium until smooth and creamy, about 5 minutes.
On a lightly floured surface, unfold one sheet of puff pastry; spread half the Brie to within ½ in. of edges. Spread half the cranberry sauce over Brie. Starting with a short side, roll up jelly-roll style. Cut crosswise into 12 slices. Place pastries on parchment-lined baking sheets. Whisk egg with water; brush over slices. Sprinkle with chopped pecans. Repeat with remaining puff pastry. Bake until golden brown, 15-20 minutes.