Preheat oven to 350 degrees.
Line a baking sheet with parchment paper. Place pretzels in a single layer on baking sheet. On top of each pretzel, place a Rolo candy.
Bake for 3 to 5 minutes or until candies are soft but not melted. Remove from oven.
Immediately press one pecan half down on top of each Rolo candy, pressing the candy through the pretzel. Allow pretzel turtles to cool completely on the baking sheet.
After cooling, remove pretzel turtles to a wire rack.
Melt candy coating in individual bowls according to package directions. One color at a time, drizzle candy coating over pretzel turtles. Immediately add sprinkles. Allow to set before storing. To speed the setting process, place turtle pretzels in the refrigerator.