Preheat your air fryer to 350°F.
Mix dry ingredients: In a medium bowl, whisk together flour, sugar, baking powder, and salt.
Add wet ingredients: Stir in milk, egg, melted butter, and vanilla until a thick batter forms.
Form dough balls: Lightly grease your hands and roll tablespoon-sized portions into balls.
Air fry in batches for 6–8 minutes, shaking the basket halfway, until golden and puffed.
Make the glaze: Whisk together powdered sugar, milk, and vanilla until smooth.
Dip and dry: While warm, dip each donut hole into the glaze and let set on a wire rack.