Preheat oven to 300 degrees F and line a baking sheet with parchment paper. Lay pretzels on the baking sheet, about 1" apart.
Unwrap rolo candies and place 1 rolo on top of each pretzel. Bake for 4 minutes. Remove from oven and top with an additional pretzel to make a sandwich. Let set to harden and place in the refrigerator for an hour.
Microwave candy melts according to package directions. Dip corner of pretzel candy in candy melt and lay on the baking sheet. Sprinkle with sprinkles. Repeat until all candies are covered.