Combine the flour, sugar, baking powder, salt, and spices in a bowl and whisk to combine.
In a small bowl, whisk the milk, eggs, melted butter, and vanilla. Stir the wet mixture into the dry ingredients.
Dump the dough onto a lightly floured work surface and quickly knead.
Cut the dough into 20-30 equal bite-size pieces and form into balls.
Place the donut holes in the air fryer basket and space them out. Air fry at 360°F for 4 minutes, tossing them halfway through.
Remove the donut holes from the air fryer and dip them in the melted butter. Combine the cinnamon and sugar in a bowl and then roll the butter-coated donut holes in the sugar mixture.
Place the donut holes on a wire rack to cool.