Pre-heat oven to 350 degrees and lightly spray a doughnut pan with cooking oil.
In the bowl of a stand mixer or in a large bowl with hand mixer, beat butter and sugar together until light and fluffy, about 3 minutes.
Add the egg and mix to combine.
In a separate medium-sized bowl, whisk together flour, crushed Lucky Charms, baking powder, and salt.
Stir dry ingredients into the butter sugar mixture, alternating with milk, until just combined. Stir in vanilla extract. Be careful not to over-mix.
Evenly distribute batter into prepared doughnut pan, filling cavities almost all the way.
Bake the doughnuts at 350 degrees for about 15 minutes, until doughnuts are starting to turn golden around edges and lightly spring back when touched.
Let cool in pan for 5 minutes before removing to a wire rack to cool completely.
Once cooled, frost doughnuts with marshmallow icing and top with Lucky Charms marshmallows.