In a heavy-bottomed saucepan, add in the vegetable oil. Heat to 375 degrees F using a candy thermometer.
Add in the milk, eggs, flour, baking powder, cinnamon, and salt in a large bowl. Whisk until the batter is smooth.
Dip the Oreos in the batter until completely covered. Remove using a fork and immediately place in the hot oil. Let it fry for about 1 minute or until golden brown. Flip to the other side and let it fry for another minute or until golden brown. It's best to fry in small batches of 4 to 5 so the oil temperature doesn't drop.