Preheat the oven to 350 degrees F (175 degrees C).
Mash bananas in a bowl and add applesauce, peanut butter, and vanilla extract. Mash together until well mixed. Add oats, walnuts, and protein powder. Mix until cookie dough comes together. Let sit for 8 to 10 minutes.
Use a tablespoon to scoop dough into 15 medium balls and place 2 inches apart on ungreased baking sheets.
Bake in the preheated oven until edges are golden, 20 to 30 minutes. Cool on the baking sheet for 1 minute before removing to a wire rack to cool completely.