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For the donuts:
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Note: I used a mini donut pan for this; recipe yields roughly 30 mini donuts.
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Preheat oven to 425 F.
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Using a food processor, crush enough Oreo cookies until you yield 1 1/2 cups of crumbs (set aside 1/2 cup for toppings).
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In a medium bowl mix together the flour, cocoa, sugar, baking powder and 1 cup of the crushed Oreo cookies. Next add the egg, buttermilk, milk, vegetable oil and vanilla. Using a hand mixer, blend until mixture is smooth.
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Fill a piping bag or a Ziplock bag (with a tip cut off), with the batter and fill each donut reservoir of your donut maker with about 2 tablespoons of batter. Bake at 425 F for about 4-5 minutes or until toothpick inserted in center of donut comes out clean.
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Place hot donuts on a cooling rack with a sheet of wax paper underneath and prepare the glaze.
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For the glaze:
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In a small bowl mix together powdered sugar, vanilla and milk. You want the consistency to be runny, not thick.
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Dip each donut in the mixture and flip it around by hand or with a fork until the whole donut is covered. Then place it back on the cooling rack until the glaze is dry.
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For the toppings
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While glaze is still tacky, sprinkle donuts with crushed Oreos and top with powdered sugar.