In a large bowl, add the cold milk, sweetened condensed milk, pumpkin puree, and pumpkin spice, and mix. The mixture will be slightly clumpy and thin. That's okay. Sprinkle the vanilla pudding mix over the top. Whisk together until smooth. This will take 2–3 minutes. I prefer a hand whisk, not a hand mixer, because it will get clumpy. Let it sit in the fridge for 10 minutes to thicken up. While it sets, beat the heavy whipping cream.

In the bowl of a stand mixer fitted with the whisk attachment, or using a handheld mixer, add the heavy cream and vanilla extract. Beat until stiff peaks form to make whipped cream. If you over beat and it looks grainy, add a tablespoon or two of heavy cream and gently mix to smooth it out.

With a rubber spatula, gently fold the whipped cream into the pudding mixture.

To assemble, you can use individual cups, a large casserole dish, or a trifle bowl. Start with a layer of pudding on the bottom, then add a neat layer of whole oreo thin cookies. Repeat to make 2-3 layers total. Finish with a final layer of pudding that fully covers everything, making sure to seal the edges so the cookies stay soft.

Gently wrap with plastic wrap and allow it to sit in the fridge for at least 6 and up to 24 hours to soften up.

Unwrap the plastic wrap from the top. Top the pudding with the reserved crushed oreo cookies and crumbs. Serve!