Preheat oven to 350 degrees. Line the bottom of a 7x11 baking pan with parchment paper. Spray parchment paper and sides with cooking spray.
In a large bowl, add cake mix, melted butter, egg, and vanilla. Beat with a hand mixer until it comes together.
Press the batter into the baking pan. Make sure the batter is evenly spread out. Place into the oven for 20 minutes or until done. The edges should be golden brown and when placing a toothpick into the center of the bar, it should come out clean.
Place the marshmallows and M&M's on top of the bars. Place back in the oven for 2 minutes. The shells of the M&M's will crack slightly.
Remove from the oven and garnish with sprinkles. Let it cool completely and then cut the bars to serve. The knife may stick to the marshmallows. To avoid this as much as possible, spray your knife with a little nonstick cooking spray.