1. 1. Preheat and Prepare: Begin by preheating your oven to 375 F (190 C). Lightly grease an 8×8 inch baking dish with cooking spray or butter to prevent sticking. This ensures easy removal of your baked oatmeal slices later.

2. 2. Combine Dry Ingredients: In a large mixing bowl, whisk together the rolled oats, protein powder, brown sugar, ground cinnamon, baking powder, and salt until they are well combined. Make sure there are no clumps of protein powder or brown sugar.

3. 3. Mix Wet Ingredients: In a separate medium bowl, whisk together the milk, egg, unsweetened applesauce, and vanilla extract until smooth. This creates the liquid base that will bind the oatmeal together.

4. 4. Combine and Add Apples: Pour the wet ingredients into the bowl with the dry ingredients. Stir gently until everything is just combined. Be careful not to overmix. Then, fold in the diced apples, distributing them evenly throughout the mixture.

5. 5. Transfer to Baking Dish: Pour the oatmeal mixture into your prepared 8×8 inch baking dish. Spread it out evenly with a spoon or spatula. If using, sprinkle the chopped pecans or walnuts over the top for added texture and flavor.

6. 6. Bake Until Golden: Place the baking dish in the preheated oven and bake for 30-35 minutes, or until the top is golden brown and the oatmeal is set. You can test for doneness by gently pressing the center; it should feel firm.

7. 7. Cool and Serve: Once baked, remove the dish from the oven and let it cool for a few minutes before serving. This allows the oatmeal to set further and makes it easier to cut into portions. Serve warm and enjoy!