Prepare cream cheese filling by mixing softened cream cheese, sugar, and vanilla in a small bowl until smooth. Freeze dollops for at least 2 hours.

Preheat oven to 350°F. Line baking sheets with parchment paper.

Combine flour, cinnamon, baking soda, salt, and nutmeg in a bowl.

Beat softened butter, brown sugar, and granulated sugar until fluffy. Add egg, vanilla, and shredded carrots, mixing until combined.

Gradually add dry ingredients to wet mixture until dough forms. Scoop dough, create well in the center, and insert frozen cream cheese dollop. Enclose and shape into a ball.

Place shaped dough onto prepared baking sheets, about 2-3 inches apart. Bake for 13 minutes or until lightly golden.

Cool on baking sheet for 15 minutes, then transfer to wire rack to cool completely to set filling.