Preheat an oven to 350F and line a baking sheet with parchment paper.
Mix all the dry ingredients in a large bowl.
Add the Greek yogurt and egg to the dry ingredients and stir until you have a giant ball of dough. (I use a rubber spatula and use a folding, pressing movement to incorporate any remaining dry ingredients.)
Once you have the ball of dough, pinch off 8 smaller balls and place them on the baking sheet.
Using your hands (spray them cooking spray if the dough is sticking), roll the balls between your hands until smooth.
Bake for 14-16 minutes or until the donut holes are cooked through.
Allow the donut holes to cool slightly before rolling them in the additional powdered sugar.