Preheat the oven to 400 degrees F. Place a wire rack over a sheet pan.
Trim or snap off the woody bottoms of the asparagus spears.
Open the package of phyllo dough. Cut the sheets in half and reserve. Brush a half sheet of phyllo with melted butter and place another piece on top. Place a slice of prosciutto on top of the phyllo and place an asparagus spear on top perpendicular to the phyllo and prosciutto. Sprinkle the phyllo sheet with a little goat cheese and a pinch each of salt and black pepper. Roll up the phyllo and seal the edge with a tiny bit of butter. Brush with a touch more butter and place on the rack over the sheet pan. Repeat until all the spears are wrapped.
Give one final brush of butter to all the wrapped spears. (You can refrigerate them for up to 2 days if you don’t want to cook them immediately.)
Bake the wrapped spears until the phyllo is golden brown, 10 to 12 minutes. Serve them warm! These reheat well in an air fryer.
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