Lay the pastry sheets on a flat surface.
Unfold both sheets of the puff pastry dough. Cut each sheet into 4 squares, making 8 squares total.
Beat the egg in a small bowl along with the water to create an egg wash.
Use a cooking brush or your fingers to brush along the edges of each square with the egg wash.
Load 1 to 1 1/2 tablespoons of cherry pie filling into the middle of each square sheet. Do not overfill the pastry.
Fold the dough over diagonally to create a triangle and seal the dough. Use the back of a fork to press lines into the open edges of each turnover to seal.
Make 3 slits into the top of the crust to vent the turnovers.
Brush the top of each turnover with the egg wash. (You can also do this step after you have placed them in the air fryer basket.)
Spritz the air fryer basket with cooking oil and add the turnovers. Make sure they do not touch and do not stack the turnovers. Cook in batches if needed.
Air fry on 370 degrees for 8 minutes. I did not flip.
Allow the pastries to cool for 2-3 minutes prior to removing them from the air fryer. This will ensure they do not stick.