In a large bowl, dissolve yeast in warm water. Add the milk, butter, egg, sugar, salt and 1-1/2 cups flour. Beat until smooth. Stir in enough remaining flour to form a firm dough.
Turn onto a lightly floured surface; knead until smooth and elastic, 6-8 minutes. Place in a greased bowl, turning once to grease the top. Cover and let rise in a warm place until doubled, about 1 hour.
Meanwhile, place the spinach, basil, garlic, walnuts, cheese and pepper in a food processor; cover and process until blended. While processing, gradually add oil in a steady stream. Set aside.
Punch dough down. Turn onto a lightly floured surface. Roll into a 12x10-in. rectangle. Spread pesto to within 1/2 in. of edges. Roll up jelly-roll style, starting with a long side; pinch seam to seal. Cut into 12 rolls.
Place rolls cut side up in a greased 13x9-in. baking pan. Cover and let rise until doubled, about 40 minutes.
Bake at 350° until golden brown, 25-30 minutes. Remove from pan to a wire rack. Serve warm. Refrigerate leftovers.