Preheat the oven to 400°F (200°C) and line a baking sheet with parchment paper.
Unfold the puff pastry sheet onto the prepared tray.
Spread apple pie filling down the center of the pastry, then sprinkle ground cinnamon on top.
Make 8 diagonal cuts on each side of the filling. Trim the top and bottom flaps, leaving the center intact.
Fold the top flap over the filling. Then, alternate folding the side strips over each other to form a braid. Fold the bottom flap to seal the braid.
Whisk the egg with a splash of water to make an egg wash. Brush it over the braid and sprinkle coarse sugar on top.
Bake for 18–20 minutes, or until golden brown and puffed.
Cool for 10 minutes before slicing and serving.