Activate the Yeast: In a bowl, mix lukewarm milk, sugar, and yeast. Let sit for 5–10 minutes until foamy.
Prepare the Dough: Add egg, vegetable oil, flour, and salt to the yeast mixture. Knead until smooth and elastic.
First Rise: Cover the dough and let it rise in a warm place for 1–1.5 hours or until doubled in size.
Make the Filling: Mix softened butter, sugar, cinnamon, and crushed walnuts in a bowl.
Roll & Fill: Roll out the dough into a rectangle, spread the filling evenly, and roll it into a log.
Cut & Arrange: Slice into even rolls and place them in a greased baking dish.
Second Rise: Cover and let the rolls rise for another 30 minutes.
Bake: Preheat oven to 350°F (175°C) and bake for 20–25 minutes until golden brown.
Prepare the Frosting: Whisk cream cheese and milk together until smooth.
Frost & Serve: Spread the frosting over warm cinnamon rolls and enjoy!