In a medium saucepan, whisk the granulated sugar, cornstarch, ground nutmeg, and a pinch of salt until combined.

Gradually whisk in the whole milk and heavy cream. Place the saucepan over medium heat, stirring constantly until the mixture begins to thicken and bubble, about 5-7 minutes.

In a separate bowl, gently beat the egg yolks. Slowly drizzle in a bit of the hot mixture to temper the yolks, whisking constantly.

Pour the tempered yolk mixture back into the saucepan. Cook over medium heat, stirring continuously until the custard thickens further, about 2-3 minutes.

Remove from heat and stir in the vanilla extract. Transfer the pudding to serving dishes or a large bowl and let it cool.

Cover and refrigerate for at least 2 hours before serving.