Line a baking sheet with parchment or a non-stick baking mat.
In a large bowl, whisk together flours, salt, baking powder, and rosemary. Using a box grater, grate the frozen butter (like you would grate cheese) into the flour mixture. Using a fork or your fingers, combine the grated butter with the flour mixture until it is a coarse consistency. There should be some visible chunks of butter still. Stir in cheese and walnuts.
In a small bowl, whisk together the buttermilk and egg. Pour over the dry flour and butter mixture, stirring to incorporate. Mixture will look crumbly. Dump onto a lightly floured surface, and with floured hands, gently knead a few times just until a dough forms. Pat or roll dough into a rectangle about 1 inch thick. Fold the dough into thirds (like folding a letter) and then in half, stacking each fold on top of each other. This creates extra layers in the dough. Gently roll or pat the mixture into a rectangle again about 1 to 1½ inch thick. Cut dough out using a round biscuit cutter (alternatively, if you don't have a biscuit cutter, you can just cut into squares). Place cut out biscuits on prepared baking sheet and place in refrigerator to chill for about 10-15 minutes.
Meanwhile, preheat oven to 400 degrees F. Bake chilled biscuits for about 13-15 minutes, until cooked through and starting to be become lightly brown on the tops. Remove from oven and cool before serving.
Recipe by Wright Family Table at https://www.wrightfamilytable.com/english-cheddar-walnut-biscuits/