Preheat oven to 350 degrees. Grease a 9x13 baking dish.
Beat together the cake mix, butter, egg, and water until well combined. Dough will be very thick and sticky. Press the batter into the prepared pan.
Beat together the cream cheese, egg, sugar, and vanilla until well combined. Drop by the spoonful onto the brownie dough.
Bake brownies for 10 minutes and then remove from the oven and run a knife through the dough to swirl the cheesecake througout. Return to the oven and continue baking for 25 minutes or until set.
Cool completely before cutting.
Store in an airtight container in the refrigerator for up to 5 days.