Combine first 4 ingredients in a food processor; pulse until combined. Stir in chives and pecans; set aside. Combine egg and 1 teaspoon water; set aside.
Roll 1 sheet of pastry into a 12-inch square on a lightly floured surface. Cut into 36 (2-inch) squares.
Spoon a level 1/2 teaspoon trout mixture into center of each square; brush edges of pastry with egg mixture. Fold each square of pastry into a triangle; seal edges. Brush tops with egg mixture. Place pastries on an ungreased baking sheet. Repeat procedure with remaining pastry and filling.
Bake at 425° for 10 to 12 minutes or until puffed and golden. Serve with Horseradish Sauce.
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