Proof The Yeast: In a small bowl, combine warm milk and granulated sugar. Stir until the sugar is dissolved, then sprinkle the yeast on top. Let it sit for about 5-10 minutes until the mixture becomes slightly frothy. This means the yeast is activated and ready to go.
Make The Dough: In a large mixing bowl or the bowl of a stand mixer, combine the flour and salt. Add the yeast mixture, along with the butter and egg. Mix together using a wooden spoon or the dough hook attachment of a stand mixer until a sticky dough forms. If mixing by hand, you may need to knead the dough a bit to bring everything together.
Knead The Dough: If using a stand mixer, knead the dough on medium speed for about 5-7 minutes, until the dough becomes smooth and elastic. If kneading by hand, transfer the dough to a lightly floured surface and knead for about 8-10 minutes, adding more flour if needed, until the dough is soft and smooth.
Let The Dough Rise: Place the dough in a greased bowl, covering it with a clean kitchen towel or plastic wrap. Let the dough rise in a warm place for about 1-1.5 hours, or until it doubles in size. In colder months, I like to proof bread in a slightly warmed up oven with the oven door propped open with a kitchen towel. I found to have better results with dough rising this way.
Prepare The Filling: While the dough is rising, make the cinnamon-sugar filling. In a small bowl, mix together softened butter, granulated sugar, and cinnamon until well combined.
Shape The Star Bread: Once the dough has risen, punch it down to release the air. Transfer the dough to a lightly floured surface and divide it into 4 equal portions.
Roll out the first portion of dough into a 12-inch circle.Place the dough circle onto a large piece of parchment paper.Spread 1/3 of the cinnamon-sugar filling evenly over the dough circle.
Roll out the second portion of dough into another 12-inch circle and place it on top of the first layer. Spread another 1/3 of the cinnamon-sugar filling. Repeat this process for the third and fourth portions of dough, layering and spreading the cinnamon-sugar filling in between (except no filling on the last top layer).
Form The Star Shape: Once all the layers are assembled, place a small glass or cup (about 2.5 to 3 inches in diameter) in the center of the dough. Leave the cup until the cutting is done. Using a sharp knife, cut the dough into quarters starting at the edge of the cup and stopping at the end of the dough. Next, cut each quarter in half, and then each of those in half again. You should end up with 16 total pieces.
Using both hands, grab two adjacent wedges and twist them away from each other toward the outside, then press the two ends together to make a point. Repeat this with the rest of the wedges. Your star bread will have 8 points at the end.
Let The Dough Rise Again: Transfer the star bread and parchment paper onto a baking sheet. Cover the star bread loosely with a clean towel and let it rise for about 30 minutes.
Preheat the oven to 375F.
Prepare The Egg Wash: In a small bowl, whisk together 1 egg and 1 tablespoon water. Brush the egg wash over the surface of the bread.
Bake The Star Bread: Bake the star bread for 25-30 minutes, or until the bread is golden brown. If the edges begin to brown too quickly, you can tent the bread with aluminum foil and continue baking until done.
Let the bread cool on a wire rack for about 10 minutes before serving. Dust with powdered sugar and serve warm.