Preheat the oven to 350°F. Line a baking sheet with parchment paper.
In a medium bowl, whisk together the Confectioners sugar, kosher salt and cayenne pepper.
Add the pecans to the sugar mixture, along with 4 teaspoons of water. Stir until the sugar is dissolved into a sticky glaze. (If the mixture is still too powdery after stirring for a while, it’s okay to add a few drops of water — just don’t add too much!)
Transfer the pecans to the prepared baking sheet and arrange in a single layer. Do your best to make sure they are evenly spread out and the nuts are not touching each other. Scrape out every last bit of glaze from the bowl and drizzle over the nuts. Bake for 10-12 minutes, until the pecans are crusty on top and caramelized and golden on the bottom. Immediately slide the parchment off of the hot baking sheet and allow the pecans to cool completely on the countertop. Once cool, remove the pecans from the parchment, breaking apart any clusters if necessary, and store in an airtight container.
Note: Make sure you’re using parchment paper and not wax paper. Wax paper is not nonstick.