Preheat oven to 350 degrees F (175 degrees C). Line a baking sheet with aluminum foil and lightly grease with cooking spray.
Lay the puff pastry onto the prepared baking sheet. Center the Brie wheel onto the pastry. Spread the jam evenly over the top of the Brie. Sprinkle the walnuts atop the jam. Fold the puff pastry over the top of the Brie, sealing all openings.
Bake in preheated oven until the pastry is golden brown, about 20 minutes.