Preheat oven to 300 degrees. Line a large rimmed baking sheet with parchment paper. In a large bowl, toss together pretzels and almonds.
In a small saucepan, bring butter, sugar, cayenne, and 1 tablespoon water to a boil, stirring constantly. Pour over pretzel mixture in bowl; gently toss to combine.
Spread pretzel mixture in a single layer on prepared sheet. Bake until almonds are crisp, about 20 minutes, tossing occasionally. Cool on sheet before serving.
To store, keep at room temperature, up to 5 days.