Prepare the Dough – In a large mixing bowl, combine flour, salt, and sugar. Make a well in the center, pour in warm milk, and sprinkle yeast over it. Let sit for 5 minutes until foamy.
Mix and Knead – Add softened butter and beaten eggs. Knead for about 8 minutes until smooth and elastic.
First Rise – Place dough in a greased bowl, cover with a damp cloth, and let rise in a warm area for about 90 minutes or until doubled in size.
Shape the Bomboloni – Roll out the dough to ½ inch thickness on a lightly floured surface. Use a 2¼-inch cutter to cut rounds. Place on a parchment-lined sheet, cover, and let rest for 10 minutes.
Fry to Perfection – Heat 1 inch of vegetable oil to 350°F (175°C). Fry in batches, turning once, until golden brown. Drain on paper towels.
Prepare the Filling – In a saucepan, heat milk over medium heat. In a separate bowl, whisk egg yolks, sugar, and cornstarch until smooth. Gradually add warm milk, then return mixture to the pan and cook until thickened. Remove from heat, add vanilla, and let cool.
Fill the Bomboloni – Make a small slit in each cooled pastry. Pipe in about a teaspoon of custard using a piping bag.
Final Touch – Dust generously with powdered sugar. Serve warm or at room temperature.