Light, pillowy brioche donuts are fried to a golden finish, tossed in sugar, and filled with a silky, rich vanilla custard for an indulgent, bakery-style treat.
Warm the milk to about 100°F.
In the bowl of a stand mixer, whisk warm milk with yeast and let sit 5–10 minutes until foamy.
Add eggs, sugar, salt, bread flour, and all-purpose flour; mix until a dough forms.
Knead with the dough hook for about 5 minutes.
Add the room-temperature unsalted butter a little at a time, mixing until fully incorporated.
Continue kneading until the dough is smooth and pulls away from the sides of the bowl.
Turn dough onto a lightly floured surface, shape into a ball, and place in a greased bowl; cover and let rise until doubled, about 1 hour.
Gently punch down, reshape, cover, and refrigerate overnight (about 8 hours).
Divide chilled dough into 2 equal halves, then into 16 equal pieces total.
Shape each piece into a tight bun by tucking edges under; place on a parchment-lined sheet (lightly flour if needed).
Cover and proof at room temperature until about doubled, 1–2 hours.
Heat frying oil in a deep pot to about 350°F.
Fry donuts in batches without crowding, about 3 minutes per side, until golden brown.
Remove with a slotted spoon to a wire rack (set over paper towels).
While still slightly warm, roll donuts in sugar to coat; let cool completely.
Make the custard: Whisk milk and eggs together in a bowl; set aside.
In a saucepan, whisk sugar, cornstarch, and vanilla; add the egg–milk mixture and butter, whisking to combine.
Cook over medium heat, stirring, until it comes to a boil; reduce to low and cook about 1 minute more.
Remove from heat, press plastic wrap directly on the surface, and chill 30–60 minutes.
Transfer custard to a piping bag (or zip-top bag with a corner snipped).
Cut a small hole in the side of each donut and pipe in the custard until filled.
Serve immediately or the same day for best texture.
Optional sourdough variation: Replace yeast with 1 cup active sourdough starter; mix and knead, bulk ferment 6–8 hours until doubled, chill to firm, then proceed with shaping, proofing, frying, and filling as above.