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

Slowly whisk in the whole milk and heavy cream into the dry mixture. Cook over medium heat, stirring constantly until the mixture thickens and bubbles, about 5-7 minutes.

In a separate bowl, crack three egg yolks and gently whisk. Slowly pour in a ladle of the hot pudding mixture to temper the yolks, whisking continuously.

Pour the tempered egg yolk mixture back into the saucepan. Cook for an additional 2-3 minutes, stirring until the custard is thick enough to coat the back of a spoon.

Remove from heat and stir in the vanilla extract. Transfer the pudding into serving dishes and let it cool for at least an hour in the refrigerator before serving.