Funny question isn’t it? Doughnuts are comprised of many ingredients: water, oil, sugar, etc., not to mention the fillings, yet everyone assumes the brocha is mezonos. They are correct!
The halacha is1 that the main ingredient defines the brocha, even when other ingredients are mixed in. Flour made from one of the five grains (wheat, spelt, barley, oats and rye) is always considered the main ingredient, even when the amount is very small, as long as it is an integral part of the final product. If the flour is only added as a binder or color it is not considered the main ingredient.
Usually, when one eats a large amount of a baked product one should say the brocha hamotzi, but a conventional donut is deep fried in oil, which is considered cooking and not baking. Therefore, the brocha is always mezonos and the after brocha is al hamichya. If you are eating baked doughnuts in a large quantity, a Rav should be consulted.
If a filling is added to the doughnut (like jelly or custard), even if the plan is to eat the doughnut first and the filling later, the brocha of mezonos covers everything. If the plan is to eat only the filling (for whatever reason), one has to say the proper brocha for the filling.
סב”ה פ”ג’ א’-ה’ 1