Preheat the oven to 400 degrees. Line a baking sheet with parchment paper.

Unfold the puff pastry sheet on a cutting board and brush all over with the egg. Unfold the second sheet, put it on top of the first sheet, and press together to seal.

Using a 3 inch cookie cutter, cut out 8 rounds. Cut out the middles with a 1 inch cookie cutter.

Arrange the 8 donut rounds on the prepared baking sheet.

Bake for 20-25 minutes or until golden brown and crisp. Remove from oven and cool.

To make the filling combine the peaches, water, sugar, and cinnamon in a medium saucepan. Cook over medium heat, stirring occasionally, until most of the liquid is evaporated. Remove from heat and refrigerate until thick.

To make the glaze whisk the powdered sugar, milk, and vanilla until smooth.

Using a sharp knife cut each donut in half horizontally. Spread the peach filling on the bottom ring and top with the other ring. Drizzle with the glaze.

Let glaze harden 15 minutes and enjoy!