Preheat oven to 350ºF.
Prepare the donut pans with a generous amount of cooking spray (my preference), butter (best flavor), or shortening. Dust with cocoa powder. If using butter or shortening, turn the pan upside down over the sink and tap gently to knock any excess cocoa loose. (If you do this with cooking spray, it will run out into the sink and make a big mess.)
In a large bowl, whisk the flour, baking powder, baking soda, cocoa, and salt.
In a medium bowl, use a hand mixer to beat the egg with sugar. Add yogurt, melted butter, milk, and vanilla extract and mix until combined.
Pour the wet ingredients into the dry ingredients. Mix with a spatula until just combined.
Use a spoon or piping bag to fill donut cavities with batter ¾ way full.
Bake for approximately 10-12 minutes or until a toothpick comes out clean or with just a few crumbs. Allow donuts to cool for 10 minutes before flipping the pans upside down over a wire rack.
Cool completely before frosting. You can't frost a hot donut because the frosting will melt, run all over, and make a giant mess.