In a mixing bowl, combine warm milk, sugar, and yeast. Let it sit for 5 minutes until frothy.
Add melted butter, beaten egg, and salt to the yeast mixture. Gradually add flour and mix until a dough forms.
Knead the dough on a floured surface for about 5-7 minutes until smooth and elastic. Place in a greased bowl, cover, and let rise for 1 hour.
Roll out the dough into a rectangle. Spread softened butter over the dough, then sprinkle brown sugar, cinnamon, and chopped pecans evenly.
Roll the dough tightly into a log and cut into 12 equal pieces. Place on a greased baking sheet, cover, and let rise for another 30 minutes.
Preheat the oven to 375°F (190°C). Bake the rolls for 20-25 minutes until golden brown. Let cool slightly before serving.