Preheat oven to 375°F. Roll puff pastry into a circle at least twice the size of the brie. Place brie in center of the puff pastry. Fold pastry over the brie (pastry will overlap itself).
Whisk egg with 2 tablespoons water and brush puff pastry with egg wash. Chill for at least 60 minutes.
In the meantime, in a medium saucepan, combine cranberries, sugar, cornstarch, salt and jalapeno. Bring to a boil; reduce heat, stirring occasionally (about 15 minutes).
While sauce is cooking, place brie on a rimmed baking sheet.