Preheat oven to 350 degrees F (175 degrees C). Lightly grease a medium baking sheet.
In a medium bowl, mix together cream cheese, sharp Cheddar cheese and mayonnaise. Stuff jalapeno halves with the mixture.
Whisk together eggs and milk in a small bowl.
Blend the bread crumbs and place in a separate small bowl.
Dip each stuffed jalapeno half into the egg and milk mixture, then roll in bread crumbs to coat.
Optional: Re-coat with the egg mixture, and roll in bread crumbs a second time.
Arrange in a single layer on the prepared baking sheet. Bake in the preheated oven 30 minutes, or until filling is bubbly and lightly browned.