In a small bowl, whisk warm milk, yeast, and sugar. Let sit 5–10 minutes until foamy.
In a large bowl (or stand mixer), whisk together flour, salt, cinnamon, and nutmeg.
Add eggs, pumpkin puree, butter, and the yeast mixture. Mix until a shaggy dough forms.
Knead with a stand mixer (5–6 minutes) or by hand (8–10 minutes) until smooth and elastic. The dough will be slightly tacky but not sticky.
Place dough in a greased bowl, cover, and let rise in a warm place until doubled, about 1–1.5 hours.