In a large Dutch oven over medium heat, add 1" of oil and heat to 375°.
In a large bowl, combine pancake mix, egg, and milk. Working with one cookie at a time, dip Oreo into batter, turning to coat well. Place Oreo in oil and fry until golden, 2 minutes. Turn Oreos as necessary. Use a slotted spoon to remove Oreos from oil and place on a paper towel–lined plate.
Dust with powdered sugar before serving.