Preheat oven to 400 degrees F.
In a sheet pan, lay out bacon slices. Bake for 10 minutes, until lightly browned and the fat has rendered. Remove bacon with a slotted spoon, and transfer to a paper towel lined plate. Carefully toss Brussels sprouts in the hot pan, and season with salt and pepper. Return the pan to the oven, and roast, turning once, until golden brown, about 20 minutes.
Remove from the oven, the walnuts and apples and toss to combine. Season, to taste, with salt and pepper. Transfer to a serving platter, top with the bacon, and serve warm.