Preheat the oven to 350 degrees Fahrenheit.
Line the baking sheet with parchment paper or nonstick pan liner.
Place 20 pretzels on prepared baking sheet and add one Rolo to the middle of each pretzel.
Using a cutting board and sharp chef’s knife, carefully cut the remaining 20 pretzels in half to form the antlers.
Place the baking sheet with pretzels and Rolos in the preheated oven and bake for 3 minutes or until the candies are softened.
Remove sheet pan from oven and add eyes, nose and antlers to each rolo. You will need to work quickly before the Rolo cools and hardens.
Allow the reindeer to cool completely before serving. If you want them to cool quicker, place the pan in the refrigerator.