1. Preheat the oven to 400°F. Line a baking sheet with parchment paper or spray with cooking spray. On a floured work surface, set a thawed puff-pastry sheet on top and roll out the pastry to a 9-1/2-inch square; cut into 4 squares.

2. Lay 1 piece each of the cream cheese and 1 tablespoon jam diagonally in the center of each pastry square. Brush the pastry edges with some of the beaten egg; fold to enclose, forming a triangle. Pinch the edges to seal, then crimp with a fork. Brush the egg all over the top and sides. Repeat with the remaining pastry, cream cheese, and jam.

3. Arrange the turnovers on the prepared baking sheet. Bake until puffy and golden, 15 to 20 minutes. Transfer to a rack to cool for 15 minutes.

4. Meanwhile, stir together the confectioners' sugar, milk, and vanilla until smooth. Drizzle the glaze over the cooled turnovers.