Preheat oven to 375 degrees F (190 degrees C). Line a baking sheet with aluminum foil and top with a wire rack.
Mix brown sugar, chili powder, and cayenne pepper together in a bowl. Dredge both sides of each bacon slice in the brown sugar mixture. Wrap a coated bacon slice around each pretzel rod, leaving a small space at the bottom of pretzel uncovered for easy handling. Arrange wrapped pretzels on the wire rack atop the baking sheet.
Bake in the preheated oven until bacon is crisp, 15 to 20 minutes.