Prepare Your Equipment: To make these pumpkin cheesecake donuts you'll need a few essential tools. Make sure you have a stand mixer like a KitchenAid Stand Mixer fitted with a paddle attachment, a baking sheet, a cooling rack, and a candy thermometer to monitor the oil temperature;

Mix the Dry Ingredients: In a large bowl, whisk together the flour, yeast, sugar and salt until just combined;

Combine the Wet Ingredients: In a separate bowl, combine the milk, egg, vegetable oil and vanilla extract. Pour this mixture into the dry ingredients and mix until a dough forms;

Knead the Dough: Turn the dough out onto a floured surface and knead it gently until it comes together, or just use a stand mixer. Be careful not to over-knead; you want your donuts to be light and fluffy. This process can take up to 10 minutes if you use a stand mixer but longer if you knead by hand. Let the dough rise until doubled in size, then punch back;

Cut and Roll: Cut the dough into 70g chunks, then roll them into balls. Place them on a baking sheet lined with parchment paper and let them rise again for 30 minutes.

Prepare for Frying: Time to deep fry each donut, make sure you warm up your oil to 180°C and keep it to a constant temperature. Use your thermometer to ensure the correct temperature.

Fry the Donuts: Carefully lower the doughnuts into the hot oil using a slotted spoon or tongs. Fry them for about 3-4 minutes on each side, or until they turn golden brown.

Drain and Cool: Once the donuts are fried to perfection, remove them from the oil and let them drain on a paper towel-lined baking dish.

Beat the Cream Cheese: In the bowl of your stand mixer, beat the softened cream cheese until it's smooth and creamy.

Add Sugar and Vanilla: Add the powdered sugar, pumpkin purée, cinnamon, pumpkin pie spice, pinch of salt and vanilla paste to the cream cheese while continuing to mix. Your pumpkin cheesecake filling is ready!

Prepare the Coating: In a shallow bowl, combine the granulated sugar and pumpkin pie spice to create the pumpkin spice sugar coating.

Coat the Donuts: While the donuts are still hot but cool enough to handle, gently roll them in the pumpkin spice sugar coating until they're evenly covered. The warmth of the donuts will help the coating adhere beautifully.

Poke a Hole: Create a hole in each donut, being careful not to drop too much sugar coating;

Fill it with Pumpkin Cheesecake: Prepare your filling in a piping bag fitted with a medium nozzle, then fill each donut until it feels heavy and packed to the brim with pumpkin cheesecake filling.