Place one mozzarella stick diagonally on an egg roll wrapper.
Fold in the sides and roll tightly, sealing the edge with a mixture of beaten egg and water.
Repeat with the remaining cheese sticks.
Spray each wrapped stick with cooking spray or lightly brush with oil.
Place them in a single layer in your air fryer basket.
Air fry at 375°F (190°C) for 6–8 minutes, turning halfway, until golden and crispy.
Let cool slightly before serving with marinara sauce or dip of choice.