Preheat your oven to 350°F. While it heats, grease a 9x13 inch baking pan generously with butter or cooking spray. Measure out all your ingredients and have them ready—this is especially important for the layering steps that follow quickly. I like to crush the Oreos roughly by hand into the package before opening them, so you get a mix of whole cookies and chunks rather than uniform crumbs.
In a large bowl, combine the red velvet cake mix with the melted butter and 1 large egg. Mix until you have a thick, cohesive dough—it should look like wet sand. Press this mixture firmly and evenly into the bottom of your prepared pan, creating a solid base layer. This red velvet foundation will provide a tender cake texture that contrasts beautifully with the brownie top.
Arrange the 22 Oreos in a single layer directly over the red velvet mixture, spacing them as evenly as possible—they'll soften and settle during baking so don't worry about perfection. Place the Nutella in a microwave-safe bowl and warm it for 30 seconds until it becomes spreadable but not too thin. Spread the warm Nutella evenly over the Oreo layer, using an offset spatula or the back of a spoon to create a smooth, even coverage.
In a separate bowl, whisk together the brownie mix, 2 eggs, vegetable oil, water, and vanilla extract until well combined and smooth. I find that mixing the brownie batter just until combined—without overmixing—keeps it from becoming tough. Carefully pour this brownie batter over the Nutella layer and spread it gently to the edges, being careful not to push down too hard and disrupt the layers underneath.
Bake in the preheated 350°F oven for 40-50 minutes, until a toothpick inserted into the brownie layer comes out with just a few moist crumbs (not wet batter). The brownies should look set on top but still have a slight jiggle in the center when you gently shake the pan—this indicates they'll be fudgy rather than dry. Remove from the oven and let cool in the pan for at least 15 minutes before cutting into squares; this resting time allows all three layers to set and hold together cleanly.