Mix warm milk, sugar, yeast, butter, egg, salt, and flour into a soft dough. Knead, cover, and let rise 1 hour.
Beat cream cheese, sugar, and vanilla for cheesecake filling.
Cook peaches with butter, brown sugar, and cinnamon; cool.
Combine brown sugar and cinnamon for topping.
Roll dough into a rectangle, layer cheesecake, cinnamon sugar, and peaches. Roll up and cut into rolls.
Bake at 350°F for 25–30 minutes.
Drizzle glaze made from powdered sugar, milk, and vanilla over warm rolls.