Preheat oven to 325 degrees F (165 degrees C). Grease a baking sheet generously with cooking spray.
Heat olive oil in a skillet over medium heat. Add asparagus and rosemary; cook and stir until asparagus is tender, about 3 minutes.
Lay 2 phyllo sheets on a flat work surface. Place 2 slices of mozzarella cheese side-by-side in the center; cover with a small scoop of asparagus. Fold in long edges of phyllo to cover asparagus; overlap short ends in the center to form a package. Wrap a slice of Canadian bacon around phyllo package. Repeat with remaining ingredients.
Arrange phyllo packages on the baking sheet.
Bake in the preheated oven until phyllo is crispy and Canadian bacon is browned, 20 to 30 minutes.