Preheat your oven to 350°F. Line a baking sheet with foil and spray with olive oil or cooking spray.
Combine the Greek yogurt, salt, and pepper in a bowl or plastic bag. Add the chicken, and mix to completely coat each piece.
Place the almonds in a shallow dish. Dip the coated chicken into the almonds to cover on both sides, and place on the prepared baking sheet.
Bake for 15-20 minutes, or until chicken is cooked through.
While the chicken is baking, prepare the sauce. Heat olive oil in a saucepan over medium heat. Add onion, and sauté for about 5 minutes, until the onion is soft and translucent.
Add the salt, pepper, and thyme, and sauté for another minute or two.
Add the preserves and balsamic vinegar, and stir until the preserves melt and the sauce is thickened, about 5 minutes.
