Preheat oven to 375°F. Spray a large cookie sheet with non-stick cooking spray.
Combine strained pie filling, walnuts and cinnamon in a medium bowl, breaking up apple pieces with a rubber spatula while stirring; set aside.
Roll each puff pastry out to an 11 x 11-inch square and cut into 4 squares. Place ¼ cup filling onto the center of each square. Brush water along 2 edges of the square, fold on the diagonal, pressing the edges together using the tines of a fork to form a turnover.
Place the turnovers onto the prepared cooking sheet and bake for 20 to 25 minutes until the pastry appears dry and golden.
Remove turnovers from oven, let sit 15 minutes to cool. Meanwhile, whisk confectioner’s sugar and milk together to form a glaze. Drizzle glaze onto turnovers using a pastry bag, plastic bag with 1 corner removed or allow to fall from a spoon.