Preheat oven to 400 degrees Fahrenheit and line a baking sheet with parchment paper.
Gently roll the 1 sheet puff pastry, out onto a lightly floured surface to about 9x10.5 inches. Cut the pastry into 8 equal rectangles, and place them on the baking sheet.
In a bowl whisk together the 1 (8-ounce) box cream cheese, ⅓ cup powdered sugar, and 1 teaspoon vanilla extract until smooth. Spoon the mixture into a ziplock bag and snip the tip of one end off.
Pipe some of the cream cheese mixture onto each rectangle of pastry, leaving a small border of uncovered puff pastry exposed.
In a small bowl whisk together the 1 egg and 2 tablespoons water, and brush the mixture onto the exposed puff pastry.
Bake the danishes for about 10-12 minutes until the pastry has puffed up and become golden in color. Let the danishes cool and serve fresh.