Whisk cold milk and pudding mix in a bowl for 2 minutes until smooth. Chill for 5 minutes.
Beat heavy cream, powdered sugar, and vanilla until soft peaks form. Don’t overbeat.
Fold the chilled pudding into the whipped cream gently until light and fluffy.
Slice bananas into ¼-inch rounds. Set out cups, wafers, and caramel sauce.
Place 2–3 wafers in each cup. Drizzle with caramel.
Add a layer of banana slices, slightly overlapping.
Spoon in pudding mixture, filling one-third of each cup.
Layer more wafers, caramel, bananas, and pudding. End with pudding on top.
Top with crushed wafers and a caramel drizzle. Refrigerate for 2+ hours to let the flavors meld and wafers soften.