In a mixing bowl, whisk together the flour, granulated sugar, baking powder, baking soda, and salt until well combined.
In a separate bowl, mix the buttermilk, egg, melted butter, and vanilla extract until smooth.
Gradually add the wet ingredients to the dry ingredients, stirring until just combined. Avoid overmixing; a few lumps are fine.
Preheat your air fryer to 350°F (175°C) for about 5 minutes.
Using a small cookie scoop or your hands, form small balls of dough (about 1 inch in diameter) and place them on a parchment-lined tray for easier handling.
Lightly spray the air fryer basket with cooking spray. Place the donut holes in a single layer in the basket, making sure they are not touching.
Air fry for 5-6 minutes or until the donut holes are golden brown and cooked through.
While they’re still warm, remove the donut holes from the air fryer and immediately toss them in powdered sugar or cinnamon sugar until evenly coated.
Allow to cool slightly before serving (they’re best warm!).