Preheat the oven to 350°F. Line a sheet pan with parchment paper and set aside.
In a medium bowl, whisk the egg white until foamy. Add the pecans, cayenne pepper, brown sugar, cinnamon, salt, and lemon zest and toss together until everything is well combined and the pecans are completely coated. Spread the pecans onto the lined sheet pan, ensuring they are in one, even layer. Transfer to the oven and bake for 15-20 minutes or until the pecans are crisp and golden. Remove from the oven and, using a metal spatula, gently move the pecans around on the parchment paper. (This will make them easier to remove from the paper once cooled). Set aside to cool on the sheet pan.
Once completely cooled transfer to an airtight container to store.
When first out of the oven the nuts will seem soggy (especially where there is a little more of the egg and spice mixture) but don’t worry because they crisp up nicely as they cool.