In a large bowl, combine warm milk, yeast, and sugar. Let sit 5–10 minutes until foamy.
In a medium bowl, combine melted butter, pumpkin purée, and vanilla. Then stir into the main mixture.
Add spices, salt, and flour, 1 cup at a time, mixing until a soft dough forms.
Knead for 8–10 minutes by hand (or 5 minutes in a mixer with dough hook) until smooth and slightly tacky.
Place in a greased bowl, cover, and let rise 1 hour, or until doubled in size.