Beat egg, and combine with peanut butter and honey in a small saucepan. Cook over medium heat, stirring constantly, until mixture starts to bubble. It only takes a couple of minutes - don't stop stirring as it sets up quickly.
Remove from heat and stir in cereal and nuts; mix well.
Spread and press evenly into a greased 8" pan. Press firmly and evenly with the back of a large spoon or measuring cup.
Chill until firm; cut into bars. Store in refrigerator.