Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
Season the chicken breasts with salt, pepper, garlic powder, and onion powder.
Set up a breading station with flour in one bowl, beaten eggs mixed with Dijon mustard in another, and crushed pretzels in a third bowl.
Dip each chicken breast into the flour, then into the egg mixture, and finally press into the crushed pretzels.
Place the coated chicken on the baking sheet and bake for 25-30 minutes until cooked through and golden brown.
While baking, combine milk, Dijon mustard, and Worcestershire sauce in a saucepan until heated, then stir in cheddar cheese until melted and smooth.
Serve the chicken with the mustard-cheddar sauce drizzled on top or on the side.