In a medium mixing bowl, combine shredded chicken, BBQ sauce, mayonnaise and shredded cheddar cheese.
Unroll puff pastry sheet. Spread 1/2 of BBQ chicken mixture on the center of puff pastry, leaving a small, 1/4 inch seam on all edges. Roll sheet up. It does not need to be tight, in fast a little bit of slack allows the puff pastry to cook evenly.
Repeat with second sheet.
Wrap both rolls in plastic wrap and place into the freezer for 1 hour.
Preheat oven to 400 degrees. Cover a baking sheet with parchment paper.
Cut each roll into 15 equal slices.
Lay BBQ chicken pinwheels 2 inches apart and baste lightly with beaten egg mixed with 1 tablespoon water.
Bake for 14-16 minutes, remove from the oven, carefully flip each pinwheel and return to the oven for 2 minutes.*
Remove and allow to cool slightly before serving.
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