Traditional empanadas are fried in a skillet with a few inches of oil but it is not uncommon to find empanadas that are baked in an oven. Few cooking methods can beat the flavor and crispness that comes from frying in some oil, but baking your empanadas is a healthier option. Brush the pockets with an egg wash before baking to give them a beautiful shine. Typically fried empanadas are best eaten right away so they do not become stale. Baked empanadas are great for packing in a lunch box or taken to go. You can also cook empanadas on a grill for a nice smoky flavor or in an air fryer for a crispy texture with less oil. You may need to test out different temperatures and cooking times to find the right directions for your recipe.