Preheat oven to 375 degrees.
Bring a small pot of water to a boil. Add the lentils and cook 15-20 minutes or until very tender. (It's okay if they're falling apart slightly.) Drain well.
Meanwhile, heat oil in a skillet or saute pan over medium-high heat. Add the onion, reduce heat to medium and cook 5-7 minutes or until beginning to soften. Add the carrots and red bell pepper and continue cooking another 5-7 minutes or until vegetables are tender.
Stir in the garlic, cumin, coriander, smoked paprika and cayenne and cook 30 seconds or until garlic is fragrant. Add the drained lentils, walnuts, panko and parsley.
Using an immersion blender, coarsely puree the mixture, leaving some of the lentils and vegetables whole.
Form mixture into 6 patties and place on a parchment-lined baking sheet. Bake for 25-30 minutes.
Spray a non-stick grill pan with cooking spray and heat over medium-high heat. Place the patties on the grill pan and grill 1-2 minutes per side.
Serve on whole-grain hamburger buns with lettuce, tomato, red onion and tzatziki sauce.