Peel and slice beets.
Place 4 orange slices in the middle of a large sheet of parchment paper lining a rimmed baking sheet. Arrange the sliced beets on top of the oranges.
Drizzle with olive oil; grind black pepper and sprinkle sea salt over the top. Place the 2 remaining orange slices on top followed by the sprigs of thyme.
Fold both sides of parchment paper over the beets then tuck the ends under.
Bake in a 375 degree oven for 35-40 minutes.
Serve as a side or slice in strips to place on a salad.