Combine sausage, grated cheddar, breadcrumbs, one egg, and thyme in a mixing bowl. Mix until evenly combined but avoid overworking the meat so the filling stays tender. A cohesive mixture makes rolling easier later.
Whisk the remaining egg with a splash of water until smooth. This mixture helps seal pastry seams and gives the rolls their shiny, golden finish once baked. Keep it nearby for assembly.
Lay thawed pastry sheets on a lightly floured surface and roll gently to smooth seams. Cut each sheet lengthwise so you have long strips ready to hold sausage logs.
Divide filling into four equal portions and shape into logs along the center of each pastry strip. Brush one edge with mustard and the other with egg wash to help seal the pastry.
Fold pastry over the sausage and press gently to seal. Flip logs seam-side down and lightly score the tops. Slice each log into bite-sized pieces about 1½ inches wide.
Arrange rolls seam-side down on lined baking sheets. Brush tops with egg wash and sprinkle generously with Everything Bagel seasoning for added flavor and texture.
Bake in a preheated 400°F oven for 18–20 minutes until pastry becomes puffed and golden. The sausage should be fully cooked and juicy inside while pastry remains crisp outside.
Allow rolls to cool slightly, then drizzle hot honey over the top and garnish with extra thyme. Serve warm for the best texture and flavor.