Prepare the Filling: In a saucepan, mix peaches, brown sugar, cinnamon, nutmeg, lemon juice, and cornstarch. Cook over medium heat until the mixture thickens. Remove from heat and let it cool.
Assemble the Egg Rolls: To assemble the egg rolls, lay one egg roll wrapper flat on a clean surface. Add 1 tablespoon of cream cheese and 2 tablespoons of the cooled peach mixture. Fold in the sides and roll tightly. Seal the edge with water.
Cook: Deep Frying: Heat oil to 350°F. Fry each egg roll for 2-3 minutes or until golden brown. Drain on a paper towel. Air Fryer: Brush egg rolls with oil. Cook at 375°F for 8-10 minutes, flipping halfway.
Serve: Let cool slightly. Dust with powdered sugar or drizzle with glaze.
