On a rimmed baking sheet, place a sheet of aluminium foil that stretches the length of the baking sheet. Pile the beets in the center. Tuck the sprigs of thyme in the stack in different sections. Drizzle with olive oil, salt and pepper.
Now, you need to make a sealed packet. Turn the baking sheet so that you are belly up to the long side. Grab each end of the aluminum foil and pull together. Roll the two sheets together, creating a long seal. Roll up each remaining side of the foil to form a sealed packet.
Place inside the preheated oven. Cook for 60 minutes. Let stand for 10 minutes or so. Be careful opening the packet, as there is a lot of hot steam trapped inside.
