Place the asparagus in a baking dish or bowl. Add the extra-virgin olive oil, salt and pepper. Toss until the asparagus are well coated.
Wrap each asparagus spear in one slice of prosciutto.
Grill over direct medium heat on a gas or charcoal grill, turning occasionally, until prosciutto is crisp and asparagus are tender, but not limp. About 10 minutes.