Heat oven to 350°F. Line a small sheet pan with parchment and place the brie in the center.
Make the Jezebel sauce: Stir preserves, jelly, horseradish, Dijon, vinegar, brown sugar, black pepper, red pepper flakes, and salt in a bowl.
Warm a skillet over medium heat. Melt butter, add peaches, and cook 2–3 minutes until just tender. Toss with 1–2 spoonfuls of the sauce; set aside.
Score the top rind of the brie in a crosshatch. Spoon about half the remaining sauce over the top.
Bake 10–12 minutes until the center feels soft when pressed.
Top with warm peaches and the rest of the sauce. Sprinkle pecans and thyme. Serve immediately with crackers or baguette.