Preheat oven to 275.
Place pretzels, evenly spaced apart, on a large baking sheet lined with parchment paper. Top each pretzel with a Rolo. Bake in the lower part of your oven for about 10 minutes. Just long enough to soften the candy, not melt it.
Remove pan from the oven and immediately press an M&M candy into the center of each Rolo. Lightly press - don't smash the Rolo. Let cool on the baking sheet; remove and enjoy!