Quickly pour melted marshmallow over the popcorn and fold to combine. Pour in pretzels and mixed nuts. Stir to mix.
Using greased heatproof gloves, take a handful of popcorn mixture and roll it into a ball. Place on the prepared baking sheet. Repeat to form 12 balls. Let sit at room temperature about 15 minutes before serving. Wrap individual popcorn balls in plastic wrap or store in an air tight container.