In a large mixing bowl, stir together the oats, sugar, nuts, baking powder, salt, and cinnamon. Finely slice or chop up the apples (removing the core, seeds, and stem) and set aside.
In a small mixing bowl, whisk together the milk, egg, vanilla extract, and melted but slightly cooled butter. Pour this mixture into the larger mixing bowl and stir to combine. Then stir in half the apples.
If you bake in individual servings, after baking simply store covered in the refrigerator and rewarm in the oven or microwave to enjoy throughout the week.