Preheat your air fryer to 350°F (180°C).
In a mixing bowl, whisk together the flour, granulated sugar, baking powder, salt, and nutmeg until well combined.
In another bowl, mix the milk, egg, melted butter, and vanilla extract. Stir until the mixture is smooth.
Pour the wet ingredients into the dry ingredients and mix until combined. Be careful not to overmix.
If using a silicone donut mold, lightly grease it. Alternatively, you can use a piping bag to shape the donuts directly in the air fryer basket.
Fill each mold or pipe the batter into donut shapes in the air fryer basket, making sure to leave space for them to rise.
Cook the donuts in the air fryer for about 8 minutes or until they are golden brown and a toothpick inserted comes out clean.
Once done, remove the donuts and let them cool on a cooling rack.
For the glaze, mix powdered sugar and 2 tablespoons of milk in a small bowl until smooth. Dip the cooled donuts in the glaze if desired.