PREHEAT oven to 350° F. Grease 13 x 9-inch baking pan.
COMBINE cake mix, pretzels, butter and egg in large bowl; stir until well mixed. Press pretzel mixture into bottom of prepared pan.
BAKE for 15 minutes or until crust puffs and appears dry. Cool in pan on wire rack for 5 minutes.
LAYER semi-sweet morsels, butterscotch morsels, coconut and nuts. Pour sweetened condensed milk over nuts.
BAKE for 30 minutes or until edges are golden brown. Cool completely in pan on wire rack. Cut into bars.