Preheat oven to 350°F (175°C). Line baking sheets with parchment paper.
In a mixing bowl, beat cream cheese and butter until smooth. Add egg and vanilla; mix well.
Add cake mix to wet ingredients and stir until combined. Chill dough for 30 minutes.
Roll chilled dough into 1-inch balls. Roll each ball in powdered sugar, then in sprinkles.
Place on baking sheets and bake 10–12 minutes, until cookies are set but still soft. Cool on baking sheet for 5 minutes before transferring to a wire rack.
Notes
Store cookies in an airtight container at room temperature for up to 4 days or freeze for up to 2 months.