Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper or lightly grease it.
In a large mixing bowl, combine the self-rising flour and Greek yogurt.
Mix the ingredients until a dough forms. The dough should be slightly sticky but manageable.
Lightly flour a clean surface and transfer the dough onto it.
Knead the dough for about 2-3 minutes until it becomes smooth and elastic. Add a bit more flour if the dough is too sticky.
Divide the dough into 6 equal portions.
Roll each portion into a long rope, about 18-20 inches long.
To shape the pretzels, form each rope into a "U" shape, then twist the ends together twice and press them down onto the bottom of the "U" to form the classic pretzel shape.
Place the pretzels onto the prepared baking sheet, spacing them evenly.
Brush each pretzel with the beaten egg to give them a golden-brown finish.
Bake the pretzels in the preheated oven for 20-25 minutes or until they are golden brown and cooked through.
Once baked, remove the pretzels from the oven and let them cool on a wire rack for a few minutes.
Serve warm, and enjoy your delicious homemade pretzels!