Preheat the oven to 400 degrees F.
Place the thawed phyllo dough on a lightly floured work surface. Roll the puff pastry out until it measures roughly 11 inches by 11 inches, just large enough to cover your brie completely.
Transfer dough to a baking sheet lined with parchment paper.
Place the brie in the center of the dough. Top with jam and pecans before folding the corners over the brie, using your hand to gently press the edges against the brie and neaten up the sides.
Optional: for a prettier touch, take another sheet of thawed phyllo dough and make braids to cover the top of the brie.
Brush the beaten egg over the entire brie.
Bake the brie until the pastry is deep golden-brown, 35 to 40 minutes.
Transfer to a serving platter and serve immediately.