Preheat the oven to 350 degrees F. Line a baking sheet with parchment paper and set aside.
Whisk the egg white in a medium bowl until foamy. Add the pecans, brown sugar, cayenne, cinnamon, lemon zest and 1/2 teaspoon salt; toss until everything is well combined and the pecans are completely coated. Spread the pecans on the prepared baking sheet in 1 even layer. Bake until golden, 20 minutes. Using a metal spatula, gently move the pecans around on the parchment paper--this will make them easier to remove once cooled. Let cool completely on the baking sheet. Transfer to an airtight container to store.
When first out of the oven, the pecans will seem soggy (especially where there is a little more of the egg and spice mixture), but don't worry: they crisp up nicely as they cool.