Place milk and butter in a microwave-safe bowl. Heat in the microwave until butter is melted and milk is hot, about 90 seconds. Cool slightly.
In the bowl of a stand mixer, add warm water, yeast and 1 Tablespoon sugar. Whisk together and let the mixture stand until foamy, about 10 minutes. (If the mixture doesn’t foam, it means the yeast isn’t alive and the dough won’t rise.)
To the bowl of warm water and yeast, add the milk mixture, egg, salt, vanilla, and remaining 3 Tablespoons sugar. Whisk until well combined.
Attach the dough hook to the stand mixer. Add 1 cup flour and mix until combined. With the mixer on medium speed, continue adding flour, 1 cup at a time, until dough comes together and pulls away from the sides of the bowl, about 8 minutes. If after 2 1/2 cups the dough is still sticky, add more flour 2 Tablespoons at a time until the dough pulls away from the sides of the bowl. The dough should be pillowy soft and only slightly sticky at the bottom of the bowl.
Transfer dough onto a lightly floured surface and shape into a ball. Place dough in a lightly oiled bowl and cover with plastic wrap. Allow dough to rise in a warm, draft-free spot for 1 ½ to 2 hours or until doubled in size. When risen, punch down the dough.
Place the dough on a lightly floured surface. Roll out into a 10x16-inch rectangle. Add more flour to the surface and rolling pin as needed. Use a sharp knife or pizza cutter to cut the dough in half lengthwise.
Filling and Assembly
In a medium bowl, combine the filling ingredients–brown sugar, pecans, flour, cinnamon and melted butter. Mix until crumbly.
Sprinkle filling evenly over both halves of the dough. Use your hands to gently press the mixture into the dough.
Beginning with the long edge, roll the dough into a log. Use your fingertips to pinch the dough as you roll. Repeat with the second dough. Braid the two logs together to form a rope, then place it on a parchment-lined baking sheet. Shape rope into an oval by pinching the two ends together to seal.
Cover loosely with plastic wrap and let rise for 30 to 45 minutes until soft and pillowy. Meanwhile, preheat the oven to 375℉.
Bake bread for 25 minutes or until golden and a toothpick inserted comes out clean. (Some filling might leak out during baking.)
Remove cake and carefully tuck 1 doll into the warm cake. Let cool slightly, about 30 minutes.
Glaze
In a small bowl, whisk together the confectioners' sugar, 1 Tablespoon milk and vanilla until smooth. If the glaze is too thick, add the remaining tablespoon of milk, a little at a time, until it reaches your desired consistency.
Spread the glaze evenly over the tops of the warm cake. While the icing is still wet, sprinkle purple, green and gold sanding sugar over the glaze. Slice and serve!
Notes
Instant yeast may also be used. Instead of adding the yeast with the warm water, sprinkle it into the first cup of flour that is added to the wet ingredients. Use the same measurement.Pecans are optional. You can substitute them with other nuts or dried fruit or omit it completely.Store king cake covered at room temperature for up to 3 days.Freeze for up to 2 months. Once cooled completely, wrap the cake in plastic wrap and aluminum foil to prevent freezer burn. Store in the freezer, then defrost in the refrigerator before bringing to room temperature.