In a mixing bowl, combine softened cream cheese, granulated sugar, lemon zest, lemon juice, and vanilla extract. Mix until smooth and creamy, about 2-3 minutes.

Lightly flour your work surface and unfold the thawed puff pastry sheet. Roll to a rectangle around 4 inches wide and 12 inches long.

Spread the creamy lemon filling down the center of the puff pastry, leaving a 1.5-inch border on both sides. Cut diagonal slits about 1 inch apart along the edges.

Fold the cut pastry strips over the filling alternately from left to right, creating a braided effect. Pinch the ends to seal the filling inside.

Transfer the braided pastry onto a parchment-lined baking sheet and brush with a beaten egg. Bake at 375°F (190°C) for 15-20 minutes, until golden brown.

Remove from oven and cool on a wire rack for about 10 minutes. Optionally dust with powdered sugar or drizzle with lemon curd.