Preheat and prep: Heat your oven to 350°F (175°C). Lightly grease a standard doughnut pan. If using an air fryer, line the basket with parchment and use silicone doughnut molds if you have them.
Crush the Oreos: Add Oreos to a zip-top bag and crush with a rolling pin until you have a mix of sandy crumbs and small chunks. You’ll need about 1 cup of crumbs for topping.
Mix the dry ingredients: In a large bowl, whisk 1 1/4 cups flour, 1/2 cup sugar, 1 1/2 teaspoons baking powder, and 1/4 teaspoon salt. If using cocoa powder, whisk in 1 tablespoon now and reduce flour by the same amount.
Mix the wet ingredients: In a second bowl, whisk 1/2 cup milk, 1 large egg, 2 tablespoons melted butter (slightly cooled), 1/2 teaspoon vanilla, and 1/4 cup sour cream or yogurt until smooth.
Combine: Pour the wet mixture into the dry. Stir gently with a spatula just until no dry pockets remain. Do not overmix or the doughnuts will be tough.
Fill the pan: Spoon or pipe the batter into the doughnut wells, filling each about 3/4 full. A zip-top bag with the corner snipped makes this easy.
Bake: Bake 9–11 minutes, or until the tops spring back when lightly pressed and a toothpick comes out clean. For air fryer, cook at 320°F (160°C) for 7–9 minutes, checking early.
Cool: Let doughnuts rest in the pan for 5 minutes, then turn onto a wire rack to cool completely. Warm doughnuts will melt the glaze too much, so be patient.
Make the glaze: In a small bowl, whisk 1 cup powdered sugar, 2–3 tablespoons milk or cream, 1/2 teaspoon vanilla, and a pinch of salt until smooth and pourable. Add more liquid by the teaspoon if needed.
Glaze and top: Dip the top of each cooled doughnut into the glaze, let excess drip, then immediately press into the Oreo crumbs. Set on the rack to firm up for 10–15 minutes.