Preheat oven to 350 degrees F. In large mixing bowl, combine the cake mix, pudding, oil and egg. Beat on medium speed until mixture is crumbly. Stir in the peanuts. Reserve 1 1/2 cups of the crumb mixture. Press remaining crumbs onto bottom of 13x9 pan that has been sprayed with non stick cooking spray.
In medium bowl, beat sweetened condensed milk and peanut butter until smooth. Spread over crust. Sprinkle with the reserved crumbs.
Bake for 30 minutes or until set. Cool. Cut into bars. Store covered at room temperature.