Lay the asparagus on a foil-lined baking sheet. Drizzle with olive oil. Sprinkle with rosemary, salt, and pepper. Roast until cooked and starting to brown around the edges, about 10 minutes. Remove from the oven and transfer to another baking sheet to cool.
Once the asparagus have cooled, wrap each spear in a slice of smoked salmon. Arrange on a serving platter and serve at room temperature.