Prepare and bake cake mix according to directions in a 9 by 13 pan. Then slice the bananas over the top of the cooled cake. Then spread the drained pineapple on top of that.
In a separate bowl beat room temperature cream cheese till fluffy. Slowly beat in the milk and then add the package of pudding mix. When it starts to thicken really well, pour it on top of the pineapple and bananas nice and evenly, spread evenly with a knife.
Then spread about 3/4 of the container of Cool Whip on top of that. Now you can sprinkle the chopped nuts on top of that and you are done. Cake must be kept in the refrigerator.