Preheat oven to 325 degrees F (165 degrees C). Line a baking sheet with parchment paper.
Mix white sugar, brown sugar, salt, cinnamon, and cayenne pepper together in a bowl.
Beat egg white and water together in a separate large bowl until frothy but not yet stiff; add pecans and stir to coat. Season nuts with the sugar mixture and spread onto the prepared baking sheet in a single layer.
Roast in oven, turning occasionally, until the nuts are browned and no longer moist, about 30 minutes.
Set baking sheet on a wire rack to cool nuts, breaking apart any nuts stuck together.