Preheat oven to 350 degrees and spray a donut pan with cooking spray.
In a large bowl, mix together cake mix, egg, milk, and vegetable oil until just combined and smooth, taking care not to over-mix.
Fill each cavity in donut pan about ¾ of the way with batter. I recommend putting the batter in a plastic bag and cutting off the corner to pipe it into the pan (you can also use a pastry bag).
Bake donuts for 14-18 minutes, until they're light and springy to the touch. Let cool in the pan for a few minutes and then remove to a wire rack to cool completely. If you only have a 6-cavity donut pan, repeat with remaining batter.
Dip cooled donuts upside down in frosting until coated and add sprinkles, if desired.