Preheat your oven, and prepare the brownie mix according to the directions on the box.
Combine the mascarpone, cream cheese, egg, sugar, and vanilla in the bowl of an electric mixer. Mix on a medium speed for one minute, stopping to scrape down the sides of the bowl if necessary.
Pour half of the brownie mix into a baking dish. Spread it out evenly.
Pour the cheesecake filling over, spreading it out evenly.
Add the remaining brownie mix over.
Use a knife to swirl the brownie and cheesecake together.
Bake according to the direction on the box. My brownies cooked in an 8x8 pan in the time listed on the box.
Let cool before cutting.