This New Orleans-style classic is prepared every year for the celebration of Mardi Gras. A small plastic baby is often hidden under the baked bread, signifying the discovery of the baby Jesus. A dried bean is a common substitute if you don't want your friends chomping down on a piece of plastic!
In a large mixing bowl, combine warm water and sugar. Add the yeast and let sit for 5 minutes while the yeast dissolves.
Meanwhile, combine the bread flour, nutmeg, and lemon zest and set aside.
Add the eggs, vanilla extract and melted butter to the yeast mixture and mix briefly. Add the dry ingredients and mix until a rough dough ball forms, about 2 minutes.
Add the salt and continue to mix until smooth and uniform, 7–10 minutes. Transfer the dough to a lightly oiled bowl, cover and let rise in a warm location until doubled in size, 30–45 minutes.
While the dough rises, prepare the filling: mix together the cream cheese, brown sugar, lemon zest, cinnamon and salt until smooth and creamy, then fold in the toasted pecans.
Line a baking sheet with parchment paper and set aside.
Roll the risen dough on a lightly floured surface into a rectangle about 18 x 30 inches. Spread the filling evenly over the dough, leaving a 1–2-inch border around the edges.
Working from the long end, tightly roll the dough into a long tube. Place the dough onto the prepared baking sheet, seam side down and shape into a large ring. Cover and place in a warm location to rise until doubled in size, another 30–45 minutes. Meanwhile preheat oven to 350°F.
Bake the ring in a preheated 350°F until puffed and golden and an internal temperature of 190°F is reached, about 45 minutes. Let cool completely.
When king cake has cooled completely, prepare the glaze by whisking the powdered sugar with enough water to make a thick yet pourable consistency. Pour the glaze over the king cake, letting the excess glaze dribble down the sides. Decorate with traditional stripes of green, yellow and purple colored sugar.
If desired, place a small plastic baby figurine or a bean under a portion of the cake before serving. Whoever finds the bean is the winner! Or has to supply next year's king cake.