Preheat the oven to 400 degrees . Place the beets on a sheet of foil, drizzle with EVOO and wrap up, sealing the edges to make a pouch. Poke a small hole in the top of the pouch. Roast until fork-tender, about 45 minutes. Let cool. Open the pouch and discard the foil. Slip off the beet skins and discard; finely chop the beets.
Transfer the beets to a bow. Toss with the watermelon, onion and lemon juice; season with salt and pepper.