Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.
In a large bowl, cream together butter and sugar until fluffy. Add eggs and vanilla. Mix well.
Stir in flour, baking soda, and salt until the dough forms.
In a small bowl, mix cream cheese and powdered sugar until smooth.
Scoop dough into balls. Flatten each and place a bit of the cream cheese filling in the center. Fold the dough around it and shape into donuts.
Mix cinnamon and sugar in a shallow bowl. Roll each donut in the mixture.
Bake for 10–12 minutes or until edges are golden. Let cool slightly before serving.