Coat the bottom of an oven safe dish (an 8x8 would work perfectly) with non stick spray. Place the bread slices standing next to each other in rows, leaving a little bit of space between them.
In a large bowl, whisk eggs, cinnamon, vanilla, and sugar until fully incorporated. Add in milk and whisk well.
Pour the eggs and milk mixture on the bread slices. Set aside.
In another bowl, stir apple pieces, sugar and cinnamon. Place the apple pieces between bread slices. Press down the apple pieces to fit more in.
Cover the dish with a plastic wrap and place it in the fridge for 8 hours or overnight.
After 8 hours, take the dish out of the fridge and place it on the counter. Preheat the oven to 350F. Once the oven is hot, place the dish in the oven and bake for 35-40 minutes until the bread slices are golden brown on top and the apple pieces are softer.
Top with powdered sugar and serve warm.