Position top oven rack in the middle of the oven, approximately 12-inches under the broiler and turn the broiler on HI. Prepare asparagus by trimming fibrous ends.
Arrange asparagus on a rimmed baking sheet so that each spear is touching the pan and separate. Drizzle with olive oil and roll asparagus to coat well. Season with salt and pepper.
Set asparagus under the broiler for 10 minutes, checking and turning (rolling 1/4 turn) asparagus every few minutes until lightly browned in spots and crisp-tender. Cook slightly longer if a softer texture is preferred.
Remove from oven and arrange in a single layer on a platter. Sprinkle with feta cheese, mandarin orange segments, and sliced walnuts. Serve immediately.
To roast asparagus more quickly, position oven rack just 6 inches below broiler, roast for 5-6 minutes.