Cook the sausage. In a skillet over medium heat, cook the breakfast sausage until browned and fully cooked. Break it apart into crumbles as it cooks. Drain any excess grease and set aside.
Scramble the eggs. In a bowl, whisk together the eggs, milk, salt, and black pepper. Pour the mixture into a nonstick skillet over medium low heat. Cook gently, stirring frequently, until the eggs are just set but still soft. Remove from heat to prevent overcooking.
Assemble the filling. In a large bowl, combine the scrambled eggs, cooked sausage, and shredded cheese. Stir gently until everything is evenly distributed.
Fill and roll the tortillas. Lay a tortilla flat on a clean surface. Spoon a small amount of the egg mixture in a line across the lower third of the tortilla. Roll it tightly and place it seam side down. Repeat with the remaining tortillas and filling.
Air fry until crispy. Preheat your air fryer to 375F if needed. Lightly spray the outside of each taquito with olive oil spray. Place the taquitos seam side down in the air fryer basket in a single layer. Do not overcrowd. Cook for 6 to 8 minutes, or until the tortillas are golden brown and crispy. If needed, cook in batches.
Serve and enjoy. Serve the air fryer breakfast taquitos warm with your favorite toppings and dipping sauces.