In a large mixing bowl, stir together 4 cups of all-purpose flour, 1/2 cup granulated sugar, 2 teaspoons of active dry yeast, and 1 teaspoon of salt. In a separate bowl, whisk together 2 eggs and 1 cup of whole milk until combined. Pour the wet mixture into the dry ingredients and mix until smooth. Knead the dough on a floured surface for about 10 minutes, then place it in a greased bowl, cover, and let rise for 1-2 hours until doubled.

While the dough rises, prepare your fillings. In a medium bowl, mix together 1 cup of pumpkin puree, 8 ounces of softened cream cheese, and 1/4 cup of sugar until smooth for the pumpkin cheesecake filling. For the chocolate pudding filling, follow the package instructions or use a homemade recipe. Once prepared, refrigerate the fillings for about 30 minutes to firm up while your dough continues to rise.

After the dough has risen, punch it down gently to release the air. Roll it out to about 1/2 inch thick on a floured surface, then use a round cutter to cut into doughnut shapes. For filled doughnuts, cut smaller holes in the center of half the doughnuts. Arrange the shapes on a baking sheet lined with parchment paper, cover, and let them rise for another 30 minutes until puffy.

Heat vegetable oil in a deep fryer or heavy pot to 350°F (175°C). Carefully place a few doughnuts into the hot oil, frying them for 2-3 minutes on each side until they turn golden brown. Use a thermometer to ensure the internal temperature reaches 190°F (90°C) for perfect doneness. Once fried, remove the doughnuts with a slotted spoon and drain them on paper towels.

While the doughnuts are still warm, roll them in cinnamon sugar or dip them in a glaze made from sifted powdered sugar and reduced apple cider for a sweet finish. Allow any glaze to set on a wire rack before serving. These Cozy Thanksgiving Doughnuts are best enjoyed fresh, bringing warmth and joy to your holiday celebrations!