Remove puff pastry sheets from the freezer and allow them to thaw for at least 15 minutes before working with them.
Preheat the oven to 400°F. Line two baking sheets with parchment paper and set aside.
Spray 18 cream horn molds lightly with non-stick cooking spray.
Unfold one sheet of puff pastry at a time. Cut into 9 equal strips.
Use a pastry brush to brush a light coating of water down one side of a puff pastry strip.
Place the cream horn mold at the end of the strip and wrap the pastry around it, overlapping the pastry by about ¼ inch.
Prepare the egg wash by whisking together the egg and 1 tablespoon of water.
Place the cream horns on the prepared baking sheet, leaving ample room between each mold, and brush with the egg wash.
Bake for 15 minutes, turning the pan halfway through cooking.
When the cream horns come out, allow them to cool slightly, then twist the mold out from the pastry.
Prepare the filling by whipping the heavy cream until soft peaks form, then add powdered sugar and whip until stiff peaks form. Transfer to a piping bag.
Pipe cream into the cooled cream horns and dust with powdered sugar before serving.