Heat oven to 350 degrees and spray a 9x13 baking dish with cooking spray. Set aside.
In a mixing bowl, combine dry cake mix, Greek yogurt, and water. Stir together using a wire whisk, wooden spoon, or spatula. Make sure to mix it until it's completely combined. About 1-2 minutes.
Evenly spread the cake batter into the prepared baking dish and cook for 25-30 minutes, or until a toothpick inserted in the center comes out clean.
Let cool completely.
For the frosting: combine the milk, dry pudding mix, and vanilla extract in a mixing bowl. Use a wire whisk, or handheld beaters, to whip together for about 1-2 minutes. It will thicken up after a couple of minutes.
Add the Cool Whip and stir together until combined.
Spread over cooled cake and top with sprinkles of choice, or leave plain.
Serve right away or you can let it refrigerate before serving. I prefer this cake cold so I always refrigerate it for a few hours before serving. Leftovers will keep well for 1-2 days.