Whisk pudding mix and milk until smooth.
Pour mixture into Ziploc bag, releasing excess air, then seal the bag.
Refrigerate for 5 minutes.
Use a small knife to carefully poke little holes into the top of the baked and cooled doughnuts.
Cut a small hole into one corner of the Ziploc bag and pipe mixture into each hole.
Transfer the doughnuts, filled side up, into a sealed container and refrigerate for up to two days before serving.