Preheat your oven to 350 degrees Fahrenheit and prepare a baking sheet by lining it with parchment paper.
Cream the butter and sugars together in a large bowl using your stand mixer or a hand-held mixer on high speed. Beat in the egg, the vanilla extract and the milk.
In a separate bowl, whisk together the cocoa powder, the flour, the baking soda and the salt and when it's combined add it to the butter mixture.
Mix everything together until it's well combined and there are no streaks of flour remaining.
Stir in the chopped pecans until they're distributed throughout.
Scoop the cookie batter out in portions just a little bigger than a tablespoon and flatten the batter into your palm.
Place a caramel candy into the center of the dough and fold the dough over the caramel candy so it's in the middle of the ball of dough.
Place the dough balls onto the lined baking sheet and press down just slightly.
Bake at 350 degrees Fahrenheit for about 10-12 minutes or until the cookies have lost their shine on top.
Let the cookies cool slightly on the pan before trying to move them. This will help the cookies deflate slightly and the caramel to settle inside the cookies.
Top each cookie with a drizzle of caramel sauce and a sprinkling of chopped pecans.
Video
Notes
These cookies keep in an airtight container at room temperature for up to 3 days. For best results, reheat slightly before serving to warm the caramel inside.