In a small bowl, combine the warm milk, yeast, and 1 tablespoon of sugar. Stir briefly and let it sit for 10 minutes until frothy. Proper yeast activation is essential for soft, fluffy filled donuts. No foam means the yeast did not bloom and should be restarted.

Preheat your oven to 170°F or the warm setting. In a large bowl, add the flour, melted butter, egg yolks, vanilla extract, and sugar. Stir lightly to combine.

Slowly pour in the milk mixture while stirring. The dough will look clumpy and slightly shaggy at this stage, which is exactly what you want.

Transfer the dough to a stand mixer fitted with a dough hook. Knead on speed 2–4 for 5 minutes until the dough becomes smooth and elastic. Kneading by hand works as well and takes about 7 minutes.

Well-kneaded dough helps create the airy texture that makes filled donuts so irresistible.

Lightly grease a bowl with oil and place the dough inside. Cover with plastic wrap or a kitchen towel. Crack open the oven door slightly and place the bowl near the warmth of the oven. Let the dough rise for 1½ hours, or until doubled in size.

Turn the dough onto a clean surface and gently punch it down. Roll it out to about 2-inch thickness. Use a round cookie cutter to cut out donut rounds.

Place the dough rounds on a baking sheet, cover with a tea towel, and allow them to rise again for 45 minutes. This second rise ensures light, fluffy filled donuts.

Heat frying oil in a deep pot to 350°F. Fry the donuts for 2–3 minutes per side, turning once, until golden brown. Transfer to a paper towel-lined plate and immediately coat in sugar while warm.

Fill a piping bag with peanut butter and marshmallow fluff. Using a finger or chopstick, poke a hole into the side of each donut. Pipe the filling inside until generously filled.

Freshly filled filled donuts are best enjoyed slightly warm.