Preheat your oven to 375°F (190°C).

On a lightly floured surface, roll out puff pastry and cut it into four 4x4-inch squares.

Blend softened cream cheese, granulated sugar, and vanilla extract in a mixing bowl until smooth.

Place a spoonful of the cream cheese filling in the center of each pastry square and top with cherry pie filling. Fold corners to seal.

Whisk together one egg and brush a thin layer over the tops of each Danish.

Arrange the Danishes on a baking sheet lined with parchment and bake for 20-25 minutes until golden brown.

Remove from oven and allow to cool on a wire rack for about 5 minutes before serving.