Mix cream cheese, Cheddar cheese, onion, and Worcestershire sauce together in a bowl with an electric mixer until completely blended. Turn cheese mixture onto a sheet of waxed paper and form it into the shape of a Christmas tree. Refrigerate cheese 'tree' until firm, at least 1 hour.
Cut bell pepper into thin strips and 1 star shape.
Press parsley into cheese tree to cover. Press bell pepper strips in a row to form a 'garland'. Make another 'garland' using chopped pecans. Place bell pepper star at the top of the 'tree'. Carefully transfer 'tree' to a serving platter.