Prepare the Pudding
In a mixing bowl, whisk together instant pudding mix and cold milk until thickened. Chill in the refrigerator for at least 30 minutes to firm up.
Set oven to 400°F (200°C) and line a baking sheet with parchment paper.
On a lightly floured surface, roll out the puff pastry sheet to smooth out creases. Cut into 8 equal rectangles.
Place a spoonful of chilled pudding in the center of each pastry rectangle. Fold or seal edges as desired, using a fork to crimp if necessary.
Brush tops with beaten egg. Bake for 18–20 minutes, or until puffed and golden.
Let pastries cool slightly, then dust with powdered sugar before serving.