Preheat your oven to 200°C (400°F). Line a large baking tray with greaseproof paper or a silicone mat for easy cleanup.
Place the puff pastry sheet onto the prepared tray. Score it into thirds lengthwise, leaving the center third open for the filling.
Cut the corners diagonally at the top of the outer two-thirds to create the angles for the braids.
Slice diagonally down one side of the pastry to create ¾-1 inch thick braids on both sides.
Remove the small triangle of pastry left between the middle section and the last strip.
Spoon the lemon curd into the center of the middle third, ensuring it's evenly distributed.
Mix together the cream cheese, icing sugar, vanilla, and cornflour in a small bowl until smooth. Spoon this mixture on top of the lemon curd.
Fold one strip from the left side over the filling, then repeat with the right side until your braid is formed.
Seal the end by folding the little piece of pastry over the filling.
Brush the braid with the lightly beaten egg, then place it in the oven for 17-22 minutes until golden.
Cool for 30 minutes on a rack before slicing into 1-inch pieces.
Optional: Dust with a sprinkle of powdered sugar for a sweet finish.