STEP 1 :Preheat the oven to 400ºF and line two baking sheets with parchment paper or Silpats.
STEP 2 :Unfold each sheet of puff pastry onto a lightly floured work surface. Cut along the seams lengthwise on each sheet of puff pastry to form three long rectangles then cut each rectangle into three 3-inch squares. (Each sheet of puff pastry will yield 9 squares.)
STEP 3 :Slice the Brie into 18 wedges. Place each puff pastry square on the baking sheet then place the wedge of Brie in one corner of the square (leaving a small border along the edge). Place a dollop of jam on top of the cheese then sprinkle the jam with chopped nuts. Stretch and fold the puff pastry over the cheese so that the two corners of the squares meet to form a triangle. Using a fork, crimp together the edges so that the puff pastry pocket is firmly sealed. Repeat the filling and crimping process with the remaining pieces of puff pastry. Cut a slit in the top of each triangle.
STEP 4 :Whisk together the egg and milk then brush the tops of the puff pastry. Bake for 15 to 20 minutes until golden brown and cooked throughout. Remove the puff pastry from the oven and allow the bites to cool for 5 minutes then serve immediately.