Add the diced apples, cornstarch, vanilla, cinnamon, and sugar to a medium saucepan. Set the pan over medium heat and cook for about 5 minutes, stirring frequently.

Lower the heat and continue cooking for another 5 minutes, or until the apples have softened slightly and the juices have thickened around them.

Remove the apple filling from the heat and allow it to cool for about 20 minutes. A cooled filling helps prevent the pastry from becoming soft before baking.

Line two large baking sheets with parchment paper. Keep the puff pastry refrigerated until you are ready to shape it.

If using one large piece of homemade puff pastry, roll it into approximately a 12-inch square and divide it into nine equal squares. If using two standard store-bought sheets, cut each sheet into four squares for eight turnovers.

Place the pastry squares on the prepared baking sheets. Spoon approximately 2 to 3 tablespoons of apple filling into the center of each square, leaving enough space around the edges for sealing.

Fold each square diagonally over the filling to create a triangle. Press the edges together, then seal them firmly with the tines of a fork.

Refrigerate the shaped pastries for at least 15 minutes. Chilling helps the puff pastry maintain its layers and shape in the oven.

Preheat the oven to 400°F (204°C).

Whisk the egg and milk together in a small bowl. Brush a thin layer of egg wash over each turnover. Cut a small slit in the top of each pastry so steam can escape.

Bake the Apple Turnovers for approximately 20–23 minutes, or until deeply golden, puffed, and crisp.

Allow them to cool on the baking sheets for several minutes before transferring them to a wire rack. Serve warm or at room temperature, with salted caramel sauce if desired.