Start by preheating your oven to 350°F and line a baking sheet with parchment paper.
Melt the butter in a skillet over medium heat. Add in your diced apples, brown sugar, and cinnamon. Saute the apples with the butter and sugar for about 10 minutes, stirring occasionally so they don't burn. Once they're softened, remove them from the heat and set aside.
Now make the cream cheese filling by adding softened cream cheese, sugar, and vanilla to a bowl, and whip it with a hand mixer or whisk until it is combined and smooth.
Roll out a sheet of puff pastry onto a dry flat surface. Then cut it into 4 squares.
Place the puff pastry squares on the parchment paper lined sheet pan. Use your knife to score a square in the middle of each puff pastry (this is so the cream cheese and apples have a little pocket to sit in).
Add a spoonful of cream cheese filling in the center of each square and spread it out evenly, then top them with apple pie filling,
Brush pastry edges with egg wash. Bake for 15-20 minutes, until they are puffed and golden around the edges.