Preheat your oven to 350°F (175°C). Grease your donut pan lightly with oil or non-stick spray.
In a large bowl, sift together the all-purpose flour, granulated sugar, cocoa powder, baking powder, baking soda, and salt.
In a separate bowl, combine the whole milk, vegetable oil, eggs, and vanilla extract. Whisk until smooth and well blended.
Slowly pour the wet ingredients into the dry ingredients, folding gently with a spatula. Stir just until combined.
Using an electric mixer, beat the softened cream cheese until smooth. Gradually add the powdered sugar and cocoa powder, mixing until creamy.
Fill each donut cavity about halfway with the chocolate donut batter. Spoon a dollop of cheesecake filling into the center. Cover with more donut batter, filling each cavity nearly to the top.
Bake for 15-18 minutes, or until a toothpick inserted into the donut (avoiding the cheesecake center) comes out clean. Let cool in pan for 5 minutes, then transfer to a cooling rack.
Drizzle the melted chocolate chips over the cooled donuts. Immediately sprinkle with chocolate sprinkles for extra crunch and visual appeal.
Serve fresh and enjoy! Store leftovers as instructed for best freshness.