Preheat oven to 350° F. Grease an 8-inch square baking dish, or dish of similar size.
Place the butter, apples, cinnamon and brown sugar in a skillet and set over medium heat. Bring mixture to a boil, stirring to dissolve the sugar. Reduce heat and simmer until apples are tender, about 5 minutes. Remove from heat and set aside.
In a large bowl, combine the oats, brown sugar, baking powder, salt, cinnamon, nutmeg and pecans. In a separate bowl whisk together the milk, egg and vanilla. Add to the oat mixture and stir until combined. Pour mixture into the prepared baking dish. Spoon cooked apples on top.
Bake uncovered until golden brown, 30-40 minutes. Serve warm with additional milk, if desired. Store leftovers in the fridge.
Notes
Note: if you'd like to prepare this oatmeal ahead, chill assembled oatmeal in the fridge overnight. Bake straight from the the fridge the next day.