Preheat Oven and thaw puff pastry: Preheat your oven to 400°F. If using frozen puff pastry, follow the package instructions for thawing. Typically, you'll need to let it sit in the refrigerator for a few hours or according to the package directions.
Roll Out Puff Pastry: On a lightly floured surface, roll out the puff pastry. Using a sharp knife or pastry cutter, divide the puff pastry into squares, approximately 4-6 inches in size, depending on your preference.
Make the egg wash. in a small bowl whisk together the egg and water. Beat until well combined.
Add Cherry Filling: Spoon a generous tablespoon of cherry pie filling onto one half of each pastry square, leaving a small border around the edges. Fold the pastry over the filling to create a triangle or rectangle shape, enclosing the cherry filling. Press the edges with a fork to seal. Lightly brush the tops of the turnovers with the egg wash. This will give them a beautiful golden-brown finish.
Bake: Place the turnovers on a parchment-lined baking sheet and bake in the preheated oven for 15-20 minutes or until they are puffed and golden.
Prepare Vanilla Glaze: While the turnovers are baking, mix together the powdered sugar, milk, and vanilla extract to create the vanilla glaze. Once the turnovers are out of the oven and slightly cooled, drizzle the vanilla glaze over the top.
Serve: Allow the turnovers to cool for a few minutes before serving.