Preheat oven to 350°F.
Spray a 9x13x2-inch baking pan with nonstick cooking spray; set aside.
Remove cinnamon rolls from package. Set frosting aside. Cut each cinnamon roll into 4 equal pieces. Place cinnamon roll pieces in even layer in the prepared baking pan.
Spoon apple pie filling over the cinnamon roll pieces. Sprinkle with walnuts. Bake, uncovered, for 30 to 35 minutes or until rolls are golden brown. Cool in pan on a wire rack for 10 minutes.
Place frosting in a self-sealing plastic bag. Snip off a tiny corner of bag. Drizzle frosting evenly over rolls in a crisscross design. Serve warm or at room temperature.