Place a round of empanada dough on a clean cutting board. With your fingers, lightly dip into water and wet the edges of the dough. Spoon a small amount of mozzarella cheese in the center of the dough, leaving enough room around the edges to fold.
Fold the dough over the filling to create a half-moon shape. Press the edges together firmly and crimp with a fork to seal.
Brush the tops of the empanadas with beaten egg for a golden finish.
Preheat the air fryer to 350°F / 177°C for 3 minutes.
Place empanadas in a single layer in the air fryer basket, working in batches if necessary to avoid overcrowding. Air Fry at 350°F / 177°C for 8-10 minutes, flipping halfway, until golden and crispy.
Remove empanadas from the air fryer and let cool slightly before serving. Enjoy warm with your favorite dipping sauce!