Prepare the Oven: Preheat your oven to 350°F (175°C) and grease a loaf pan thoroughly. This initial step ensures your donut loaf will bake evenly and won't stick to the pan when it's done. A light coating of cooking spray or butter works well for greasing.

Mix the Dry Ingredients: In a large mixing bowl, combine the flour, sugar, baking powder, salt, cinnamon, and nutmeg. Whisk these ingredients together until they are well blended, ensuring there are no lumps and the spices are evenly distributed throughout the mixture.

Mix the Wet Ingredients: In a separate bowl, whisk together the milk, vegetable oil, egg, and vanilla extract until fully combined. The mixture should be smooth and uniform in consistency, with the egg completely incorporated.

Combine Mixtures: Gradually add the wet ingredients to the bowl containing the dry ingredients. Stir gently until just combined, being careful not to overmix. Overmixing can develop the gluten in the flour too much, resulting in a tough rather than tender loaf.

Bake the Loaf: Pour the batter into the prepared loaf pan, smoothing the top with a spatula. Bake in the preheated oven for 30-35 minutes, or until a toothpick inserted into the center comes out clean. The top should be golden brown and slightly springy to the touch.

Cool the Loaf: Allow the loaf to cool in the pan for 10 minutes. This initial cooling period helps the loaf set properly. Then, carefully transfer it to a wire rack to cool completely. Complete cooling is important before applying the glaze.

Prepare the Cinnamon Glaze: In a small bowl, whisk together the powdered sugar and a dash of cinnamon until smooth. If the glaze is too thick, add a teaspoon of milk or water at a time until it reaches a pourable consistency.

Glaze and Serve: Drizzle the glaze over the completely cooled donut loaf. Let the glaze set for a few minutes before slicing and serving. This final touch adds sweetness and enhances the cinnamon flavor of the loaf.