In a mason jar or container, combine the milk, oats, 1/4 cup yogurt, protein powder, chia seeds, vanilla extract, cinnamon, and nutmeg. Stir well to ensure the protein powder is fully dissolved and no lumps remain—I always use a whisk for this to break up any clumps before refrigeration. Cover and refrigerate for at least 6 hours or overnight, allowing the oats to absorb the liquid and soften while the flavors meld together.