Preheat the oven to 250°F (121°C).

Line a baking sheet with parchment paper or a silicone baking mat.

Arrange the pretzels in a single layer on the prepared baking sheet.

Place one unwrapped Rolo candy in the center of each pretzel.

Bake for 3 to 5 minutes, or until the chocolate is soft and glossy but not melted into a puddle.

Remove from the oven and immediately press one M&M candy firmly into the center of each softened Rolo.

Allow to cool completely at room temperature or place in the refrigerator for 15 minutes to set the chocolate.