Preheat your oven to 375°F (190°C) to ensure even baking.

Roll out the thawed puff pastry on a lightly floured surface and slice it into four 4x4-inch squares.

In a mixing bowl, combine softened cream cheese, granulated sugar, and vanilla extract until smooth.

Place a scoop of cream cheese mixture in the center of each pastry square, followed by cherry pie filling. Fold corners towards the center and pinch to seal.

Whisk an egg and brush it over the tops of each assembled Danish for a golden finish.

Bake in the preheated oven for about 20-25 minutes until puffed and golden brown.

Let cool on the baking sheet for about 5 minutes before serving warm.