Preheat your oven to 250°F (120°C).
Cover a baking sheet with parchment paper for easy cleanup. Arrange your pretzels in a single layer on the sheet.
Place one unwrapped Rolo candy right on top of each pretzel. (Hershey's Kisses work great too if you prefer!)
Pop them into the preheated oven for just 4-5 minutes, until the Rolo candies look slightly melty and soft, not fully liquid. Don't overbake!
Carefully take the baking sheet out. Immediately press one M&M candy gently onto the center of each warm Rolo, flattening it slightly.
If you like, sprinkle a few colorful sprinkles on top while the chocolate is still soft, so they stick.
Let these sweet and salty bites cool completely on the baking sheet. You can speed this up by placing them in the fridge for a few minutes. Then, enjoy!