Preheat your oven to 375°F (190°C).
In a large bowl, whisk together the flour, sugar, baking powder, baking soda, salt, and pumpkin spice.
In a separate bowl, mix the pumpkin puree, milk, egg, and vanilla extract until smooth.
Pour the wet ingredients into the dry ingredients and stir until just combined.
Spray a doughnut pan with non-stick spray and fill each cavity about halfway with the batter.
Bake for 10-12 minutes or until a toothpick inserted into the center comes out clean.
While the doughnuts bake, prepare the cream cheese filling by beating the softened cream cheese and powdered sugar until smooth.
Once the doughnuts are cool, poke a hole in the side of each and pipe in the cream cheese filling.
Mix cinnamon sugar in a small bowl and generously coat each filled doughnut.
Serve immediately or store in an airtight container.