In a large bowl, whisk together the flour, protein powder (if using), baking powder, and salt. Add the Greek yogurt and egg, then stir until a sticky dough forms.
Lightly flour your hands or use gloves. Divide the dough into 4 equal portions and roll into balls. Use your palms to flatten the bagel slightly then use your finger to poke a hole in the middle.
Sprinkle your favorite seasonings (everything bagel mix, sesame seeds, dried onion, etc.) on top of each bagel.
Place the bagels in a single layer in the air fryer basket (don’t overcrowd — 4 should fit in one batch). Air fry at 300°F for 14–17 minutes, until golden and cooked through. For oven method, bake at 350°F for 20-25 minutes until golden brown and cooked through.
Let the bagels rest for 5–10 minutes before eating to finish setting. Enjoy warm or at room temperature.