Toast almonds in a skillet over medium heat, stirring constantly, until lightly browned, about 3 minutes. Allow to cool, about 15 minutes.
Combine feta cheese, onion, and garlic in a small bowl. Add olive oil and mix into a smooth paste.
Spoon a little bit of feta paste into each olive and stick an almond inside. Cut very large almonds in half. Refrigerate before serving, 8 hours to overnight. Serve with toothpicks stuck into the olives.