Preheat the oven and prep the pan. Preheat the oven to 350°F. Prepare your baking sheet with parchment paper for quick clean up.
Combine the wet ingredients. In the bowl of your mixer, combine butter, granulated sugar, brown sugar, and vanilla. Blend well. Add the eggs one at a time, mixing well in between each egg.
Whisk the dry ingredients. In a medium-sized bowl, add the flour, dry pudding mix, baking soda, and salt. Whisk to combine.
Add the dry ingredients to the wet ingredients. Add the dry ingredients slowly into the wet ingredients mixing until blended. Add the Nutella to the dough, blending until mixed.
Prepare cookies for baking. Roll about a 2 tablespoon-sized ball of cookie dough in clean hands. Place onto the baking tray and flatten. Add a marshmallow and fold the dough around the marshmallow rolling it in your hands to make sure the dough is sealed. Repeat until all the dough is gone.
Bake. Bake for 8-10 minutes. Take them out when you see any cookies starting to leak marshmallow. Let cool 1-2 minutes, then using a butter knife or spoon, gently push onto the center of the cookies that have not flattened, flattening them and gently pushing a little marshmallow to peak through. Let cool. Store stacked in parchment paper so the cookies don't stick together.