In a mixer, beat the cake mix, egg, butter, and vanilla to form your dough.
Line an 8x8 pan with nonstick foil and press half of your dough into the pan.
Place the peanut butter cups on top.
Press the rest of the dough over the peanut butter cups.
Pour the sweetened condensed milk over the top. Sprinkle with your Reese's Pieces candies.
Bake at 350 degrees for about 35 minutes.
Cool completely in pan and chill.
Cut into bars.