In a medium saucepan, heat the milk over medium heat until it starts to simmer, but don’t let it boil. Once it reaches a simmer, remove from heat and set aside.

In a separate large bowl, whisk together the egg yolks, sugar, cornstarch, vanilla extract, and salt until the mixture is smooth and lump-free. Gradually pour a small amount of the warm milk into the egg mixture, whisking constantly to avoid curdling the eggs. Continue whisking as you slowly add the rest of the milk.

Once fully combined, pour the mixture back into the saucepan. Place the pan over medium heat, stirring constantly, until the mixture thickens into a smooth custard, about 3–5 minutes. Be careful not to let it boil.

Once thickened, remove from the heat and set aside to cool while you prepare the churros.

In a small pot over medium heat, combine the water, sugar, butter, and salt. Bring the mixture to a boil, then remove from the heat and gradually add the flour. Stir vigorously with a wooden spoon until the dough comes together and there are no lumps.

Return the saucepan to the stove over medium heat and continue stirring for about 3–4 minutes until the dough forms a smooth, cohesive ball that pulls away from the sides of the pan. Remove from heat and let the dough cool slightly.

Transfer the churro dough to a piping bag fitted with a large star tip. Heat the oil in a deep frying pan or pot to 350°F.

Carefully pipe 2–3 churros (about 4–5 inches long) directly into the hot oil. Fry the churros for 2–3 minutes per side, or until golden brown and crispy on all sides. Use a slotted spoon to remove the churros and transfer them to a plate lined with paper towels to drain excess oil. Repeat until all churros are fried.

While the churros are still warm, roll them in the cinnamon-sugar mixture until evenly coated.

Cut each churro in half. Use a chopstick or skewer to carefully pierce a hole from the top of each churro all the way through to the other end, creating space for the filling.

Transfer the cooled vanilla custard into a piping bag fitted with a small tip and pipe the custard into the center of each churro.

Serve and enjoy!