Preheat the oven to 300°F. Place six 4-ounce ovenproof cups in a deep baking pan. Chef’s tip: you can use ramekins or coffee cups marked as oven safe.
In a medium saucepan, bring milk to a simmer over medium-low heat.
In a separate bowl whisk together egg white, yolks, sugar, and vanilla.
Gently whisk the egg mixture while pouring slowly into simmering milk.
Pour mixture through a fine strainer and into cups. Sprinkle lightly with nutmeg. Use a spoon to clear the strainer if clogging occurs.
Pour hot (not boiling) water into the pan with the custard cups until cups are about halfway filled.
Bake until set, 30-35 minutes.
Let custard cool in a water bath for 2 hours before serving.