Combine Neufchatel, milk, mustard, horseradish and 1/4 teaspoon salt in medium-size bowl; whisk until sauce is smooth.
Melt butter in large skillet over medium-high heat. Add chicken; cook for 3 minutes. Add apples, remaining 1/2 teaspoon salt and the pepper; cook 3 minutes or until chicken is no longer pink in center. Pour in cheese sauce; lower heat to medium and simmer for 2 to 3 minutes or until thickened. Remove from heat.
Toast walnuts in skillet until lightly browned, about 7 minutes. Add walnuts and thyme to filling.
