Preheat oven to 425°F. Line a sheet pan with parchment paper.
On a lightly floured surface, roll the puff pastry out to a large rectangle about double the original size. Square off edges and cut into 6 squares. (I use a pizza cutter to do this).
Toss asparagus in olive oil and season with salt and pepper.
To make the bundles, place slice of prosciutto on top of the square. I folded the prosciutto in half so that it fit nicely on the square. Follow with 3-4 stalks of asparagus (depending on size) and 1-2 tablespoons of cheese.
Lift two opposite corners of the puff pastry squares and wrap them around the asparagus and press to seal. Brush puff pastry with egg wash. Sprinkle with more salt and pepper if desired.
Bake until puff pastry is golden and puffed, about 12-15 minutes. Serve immediately.