Preheat the oven to 400 degrees. Line a baking sheet with parchment paper.

Roll each sheet of puff pastry out a bit, into a square shape. Cut each square in half, then in half the other way, to create 4 smaller squares.

Mix the egg and water together, then brush over the edges of each square.

Chop the pie filling into smaller pieces, then fill the bottom center (inside the egg-wash area) with apple pie filling.

Carefully fold one corner over to meet the other corner. You will make a triangle shape. Use a fork to press the seams together.

Brush the egg wash over the top and use a knife to make 3 small slits in the top.

Arrange the turnovers on the prepared baking sheet and bake for 18-20 minutes until golden and no longer doughy.

Cool for 20 minutes.

Whisk together the powdered sugar and milk, then drizzle over the turnovers.