Preheat the oven to 400 degrees F (200 degrees C). Brush eggplants lightly with olive oil, pierce the eggplant skin with a knife, and place them in the oven. Roast until the skins are brown and the eggplant is soft, about 30 minutes. Remove from the oven, cool slightly, peel, and cut into chunks. Set aside in a bowl to drain off some of the liquid.
Place the eggplant chunks into the container of a food processor, along with the garlic, feta cheese, walnuts, and olive oil. If it doesn't all fit, do this in batches then stir together. Process until well blended with just a few small chunks. The consistency should be thick. Transfer to a bowl, and season with salt and pepper. Serve as a side dish or appetizer.
