Preheat oven to 350°F (175°C). Line two baking sheets with parchment paper.

Cream butter and sugars: In a large mixing bowl, beat the butter, granulated sugar, and brown sugar together until light and fluffy. Add in the egg and vanilla, mixing until smooth.

Mix dry ingredients: In a separate bowl, whisk together the flour, cinnamon, nutmeg, baking soda, and salt. Gradually stir into the wet mixture until a dough forms.

Shape cookies: Scoop about 1 tablespoon of dough, roll into a ball, and place on the prepared baking sheet. Space the cookies about 2 inches apart.

Make indentations: Gently press your thumb (or the back of a teaspoon) into the center of each dough ball to create a well.

Prepare apple filling: Place the apple pie filling on a cutting board and chop into small pieces so they fit neatly into the cookies.

Fill cookies: Spoon about 1 teaspoon of chopped apple pie filling into each indentation.

Bake: Bake cookies for 12–14 minutes, or until lightly golden around the edges. Let them cool on the baking sheet for a few minutes before transferring to a wire rack.

Make caramel drizzle: In a small saucepan over low heat, melt the caramel candies with the heavy cream, stirring until smooth and pourable.

Finish cookies: Drizzle the warm caramel over the cooled cookies before serving.