Preheat the oven or air fryer to 375 degrees F (190 C).
Group the garlic cloves together and wrap in foil.
Add the peppers, garlic, and onion (no need to peel the skin off) to the air fryer basket or arrange on a baking sheet. Roast for 30 minutes.
While the veggies are roasting, toast the walnuts in the skillet over medium-low heat until they become fragrant and their brown color deepens. Remove from heat and set aside.
When the roasting is done, remove the basket or tray and cover with aluminum foil. This way, the peppers will sweat and loosen their skins for easier peeling. Let the roasted veggies rest and cool for about 15 minutes.
Once the veggies are cool enough for you to comfortably handle them, remove all foil and transfer the veggies to your mixing bowl. Hand-peel the onion and peppers (be sure to remove the pepper seeds, but it’s okay if a few are left over), then squeeze the garlic cloves from their skins.
Add the toasted walnuts, olive oil, salt, dried oregano, and smoked paprika to the bowl. Blend with an immersion blender until the preferred level of smoothness is reached, or transfer to a food processor for blending if desired.