PREHEAT oven to 400°F. Roll out pastry on lightly floured surface to 14-inch square. Cut into 9 equal squares.
MIX cream cheese and sugar with wooden spoon. Add apples and pecans; mix well. Spoon evenly onto centres of pastry squares. Brush edges of pastry with egg. Fold each square diagonally in half to form triangle; press edges together until completely sealed. Brush with remaining egg.
BAKE 10 minutes. Reduce oven temperature to 375°F. Continue baking 10 minutes or until turnovers are slightly puffed and golden brown. Cool 5 minutes before serving.