Preheat the oven to 400°F. Trim the beets, toss them with the olive oil, salt, and pepper, then wrap each in foil and place on a baking sheet. Roast for 45 to 50 minutes until tender. Let cool, then peel and slice into thin rounds.
While the beets roast, combine the goat cheese and heavy cream in a mixing bowl. Whip with a whisk or hand mixer until light and spreadable.
In a small skillet over medium heat, melt the butter with the brown sugar. Add the walnuts and stir for 3 to 4 minutes until coated and lightly toasted. Spread on parchment to cool.
Arrange the mini phyllo shells on a serving platter. Spoon or pipe a small amount of whipped goat cheese into each shell.
Top each tartlet with one or two beet slices, a few candied walnuts, and a sprinkle of fresh thyme leaves. Serve at room temperature.