Mix warm milk, sugar, and yeast; let sit until foamy. In another bowl, combine flour and salt, then add the yeast mixture, eggs, and softened butter.
Knead on a floured surface for 6–8 minutes until smooth and elastic. Let rise in a greased bowl for about an hour, or until doubled in size.
Punch down the dough and roll it to ½ inch thick. Cut into 3-inch circles and rest for 20 minutes. Fry in 350°F (175°C) oil for 1–2 minutes per side until golden, or bake at 375°F (190°C) for 12–15 minutes. Cool completely.
Beat cream cheese and powdered sugar until smooth, then mix in vanilla and heavy cream until light and fluffy. Spoon into a piping bag.
In a skillet, melt butter and add diced peaches, sugars, cinnamon, and nutmeg. Cook for 5 minutes until juicy, then stir in cornstarch slurry and simmer until thickened. Let cool.
Mix flour, brown sugar, cinnamon, and salt, then cut in cold butter until crumbly. Bake at 350°F (175°C) for 10 minutes until golden. Cool.
Fill each donut with cheesecake cream, top with peach cobbler mixture, sprinkle with crumble, and drizzle with glaze if you like.