Add the milk, frozen banana slices, protein powder, and vanilla extract to the blender.
Blend on high for about 30 to 45 seconds until smooth and creamy.
Add the Oreo cookies and pulse 3 to 4 times until the cookies are broken into small pieces but not fully blended. You want some cookie chunks throughout.
Taste and adjust — add more milk if it's too thick, or an extra half scoop of protein powder if you want it richer.
Pour into tall glasses, top with a crushed Oreo or two, and serve immediately.