Drain the crab legs and pat dry with paper towels. Discard any shells that remain in the meat.
Place the crab legs in a large bowl. Add the mayonnaise, egg, Old Bay seasoning, and milk. Mix well to combine.
Pour the mixture into a greased 9x13 baking dish.
Sprinkle the cheese over the top.
Bake at 350 degrees for 20 minutes or until the crab mixture is set.