In a mixing bowl, beat together cream cheese, powdered sugar, cinnamon and vanilla for filling until fluffy.
Spread a slice of bread with cream cheese filling. Then, top with another piece of bread, to create a sandwich.
Over medium heat, melt butter in a skillet or griddle. In a bowl, whisk together eggs, milk, vanilla and ground cinnamon. Dip entire sandwich into egg mixture. Coat well and shake off any extra.
Add coated sandwich to the skillet. Cook on both sides evenly until they are browned. Repeat with remaining bread and filling.