Preheat the oven to 400°F. Line a baking sheet with parchment paper.

Roll each sheet of puff pastry out slightly into a square. Cut each square in half, then in half the other way, to make 4 smaller squares per sheet (8 total).

Whisk the egg and water together, then brush over the edges of each square.

Chop the pie filling into smaller pieces. Spoon the filling onto the center of one half of each square, inside the egg-wash border.

Fold one corner over to meet the opposite corner to form a triangle. Press the seams together with a fork.

Brush egg wash over the tops and cut 3 small slits in each turnover with a knife.

Arrange the turnovers on the prepared baking sheet and bake for 18 to 20 minutes, until golden and no longer doughy.

Cool for 20 minutes.

Whisk the powdered sugar and milk together until smooth, then drizzle over the cooled turnovers.