Preheat your oven to 400°F (200°C).

Thaw the puff pastry sheets according to the package instructions.

Cut each pastry sheet into 3 equal pieces and place them on a baking sheet lined with parchment paper.

Bake the pastry sheets in the oven for about 15-20 minutes or until golden brown and puffed up. Let them cool.

In a saucepan, heat the milk over medium heat until hot but not boiling.

In a separate bowl, whisk together the egg yolks, sugar, cornstarch, and vanilla extract until smooth.

Slowly pour the hot milk into the egg mixture, whisking constantly.

Return the mixture to the saucepan and cook over medium heat, stirring constantly, until it thickens into a custard-like consistency. Remove from heat and let it cool.

Once the puff pastry and custard are cooled, assemble the Milhojas by layering a piece of puff pastry with a generous spoonful of custard. Repeat the process to create 3 layers.

Dust the top layer with powdered sugar before serving.