Preheat the oven to 350°F. Combine cookie mix, butter, and egg in a medium bowl until a soft dough forms.
Roll the dough into 30 (1 1/4-inch) balls. Encase each caramel with a dough ball. Space them 2 inches apart on a cookie sheet lined with parchment paper.
Bake for 8 to 10 minutes until edges are set. Then, let it cool for 5 minutes before transferring to a cooling rack. Allow it to cool completely for about 30 minutes.
Microwave frosting in a small bowl on High for 10 to 15 seconds to soften. Stir to blend, then drizzle over cookies and sprinkle with pecans. Store cookies tightly covered.