In a large bowl, whisk together the cake mix, eggs, vegetable oil, and water until smooth. Do not overmix.
Lightly grease a donut pan and fill each cavity about two-thirds full. Set the air fryer to 320°F and cook for 6–8 minutes, until a toothpick comes out clean.
Let the donuts cool slightly in the pan, then transfer to a wire rack to cool completely.
Make the glaze: whisk the melted butter, powdered sugar, milk, and vanilla until smooth, adjusting with more milk or sugar to reach a dippable consistency.
Dip the tops of the cooled donuts into the glaze, then add sprinkles while the glaze is still wet.
Let the glaze set a few minutes, then plate, serve, and enjoy!