In medium bowl, combine apple pie filling, cereal, cinnamon and nutmeg; set aside.
Unfold puff pastry sheets; repair any cracks by pressing them back together. Trim each sheet into a square. Then cut each larger square into 6 smaller squares.
Spoon apple mixture onto the center of each square. Fold over from corner to corner into a triangle shape; press edges together to seal.
Place turnovers on a baking sheet about 1 inch apart. Bake in a preheated 400°F oven 25 minutes or until the tops are puffed and lightly golden brown.