Place Brussels sprouts in a medium bowl; toss with oil, salt, and cayenne. Place in an air fryer basket.
Air fry until golden brown and crisp around the edges, 13 to 15 minutes.
Meanwhile, whisk honey and balsamic vinegar together until smooth. Toss cooked sprouts in the glaze and sprinkle with feta cheese.
No air fryer? No problem! Roast Brussels sprouts at 400 to 425 degrees F (200 to 220 degrees C) for 18 to 25 minutes.
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