Remove the puff pastry from the freezer and let it thaw for about 20–30 minutes. It should feel cold but pliable enough to unfold without cracking. Lightly dust your work surface with flour if the pastry becomes sticky.
In a small mixing bowl, combine the softened goat cheese and cream cheese until smooth. Stir in the thyme leaves and a pinch of black pepper for extra flavor. The mixture should be creamy and easy to spread.
Lay the puff pastry sheet flat on your work surface and gently roll it out slightly if needed. Spread the cheese mixture evenly over the pastry, leaving a small border around the edges. This helps prevent the filling from spilling out during baking.
Carefully spoon the fig preserves over the cheese layer and spread gently with the back of a spoon. Try not to overfill the pastry because too much jam can leak while baking. Sprinkle chopped walnuts evenly across the surface.
Starting from one long side, tightly roll the pastry into a log shape. Rolling tightly helps the pinwheels keep their beautiful spiral appearance. Once rolled, place the log in the refrigerator for about 15 minutes to firm up.
Using a sharp knife, slice the chilled pastry log into even rounds about ½ inch thick. Arrange the slices on a parchment-lined baking sheet with space between them. This allows the pastry to puff up properly while baking.
Whisk together the egg and water in a small bowl until combined. Brush the tops and edges of each pinwheel lightly with the egg wash. This step creates a shiny and golden baked finish.
Bake the pinwheels in a preheated oven at 400°F (200°C) for 18–20 minutes. The pastry should become puffed, crisp, and golden brown. Allow them to cool slightly before serving.
If desired, drizzle a little honey over the warm pinwheels for added sweetness. Garnish with extra thyme leaves for a beautiful presentation. Serve warm or at room temperature for the best flavor.