Activate the yeast: Warm the milk until it’s about 105–110°F (warm to the touch, not hot). Stir in the sugar and yeast. Let it sit for 5–10 minutes until foamy. If it doesn’t foam, start over with fresh yeast.

Make the dough: In a large bowl, whisk the egg, melted butter, vanilla, and salt. Stir in the foamy yeast mixture. Add 2 1/2 cups of flour and mix with a spoon until a shaggy dough forms. Add more flour, a tablespoon at a time, just until the dough is soft and slightly tacky, not sticky.

Knead: Knead on a lightly floured surface for 5–7 minutes until smooth and elastic. You can also use a stand mixer with a dough hook for 4–5 minutes on medium-low.

First rise: Place the dough in a lightly oiled bowl, cover, and let it rise in a warm spot until doubled, about 1–1.5 hours.

Shape the donuts: Turn the dough out and roll it to 1/2-inch thickness. Cut rounds with a 3-inch cutter and remove centers with a 1-inch cutter. Re-roll scraps once to make more donuts and holes.

Second rise: Place the cut donuts on parchment squares, cover lightly, and let them puff until visibly lighter and slightly risen, about 30–40 minutes.

Preheat the air fryer: Heat to 350°F for 3–5 minutes. Lightly spray the basket and the tops of the donuts with oil to help them color.

Air fry: Work in batches. Transfer donuts (on their parchment squares if needed) into the basket without crowding. Air fry for 3–5 minutes until lightly golden. Donut holes take about 2–3 minutes. Avoid overbrowning.

Make the glaze: In a bowl, whisk powdered sugar, vanilla, and 4 tablespoons of milk. Add more milk, a teaspoon at a time, until you have a smooth, pourable glaze that coats a spoon in a thin film.

Glaze while warm: Dip each warm donut in the glaze, flipping to coat both sides. Let excess drip off on a rack set over a tray. For extra shine, double-dip after the first coat sets for 2–3 minutes.

Serve: Enjoy within an hour for the softest, most tender texture.