Preheat your oven to 400°F (200°C) and line a baking tray with parchment paper.

In a bowl, toss the peeled and sliced apples with sugar and cinnamon.

Unroll the thawed puff pastry on a lightly floured surface and cut it into four equal squares.

In a separate bowl, mix softened cream cheese with powdered sugar until smooth, then spread a spoonful in the center of each pastry square.

Top the cream cheese with the cinnamon-sugar apple mixture, ensuring not to overfill.

Fold each corner of the pastry square toward the center and pinch the edges to seal securely.

Whisk together the egg and milk, then brush this mixture over the tops of each pastry.

Place the Danish pastries on the prepared baking tray and bake for 20-25 minutes or until golden brown.

Allow the pastries to cool slightly before serving. Drizzle with powdered sugar or icing if desired.