Preheat oven to 300 degrees and line a baking sheet with parchment paper.
In a small bowl add the brown sugar, cinnamon, cayenne, and sea salt mix until combined.
In a medium bowl toss the walnuts with the egg white and vanilla until coated.
Add the sugar mixture to the walnuts and toss until coated.
Spread the walnuts into a single layer on the prepared baking sheet. Place in the middle oven rack and bake for 20 minutes, stir and bake for another 20 minutes.
Remove from oven and let the walnuts cool. Store in an airtight container for up to 1 month.