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Preheat oven to 350 degrees. Combine the roasted veggies, thyme, cumin, and feta in a small bowl and set aside.
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Lay two sheets of phyllo dough, one on top of the other, on a clean surface and line 1/4 of your veggie mixture along the long side of a phyllo edge.
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Gently roll the phyllo so that the veggies are in the center and they’ve been wrapped up in the dough (like cinnamon in cinnamon rolls).
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Brush the edges with melted butter to seal the veggie pocket. Gently create a spiral effect by starting on one end of the rolled pocket and spiraling it around itself.
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Transfer to a parchment lined baking sheet. Repeat with the rest of the phyllo dough and veggies.
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Brush butter over the phyllo pockets and sprinkle with sesame seeds. Bake for 30 minutes or until browned on top. Serve warm because it’s cold outside!