Heat the milk with the onion, bay leaves and peppercorns in a small saucepan over a medium heat. Allow it to come to the boil, so that the surface is bubbling, then turn it off the heat and set aside for 30 minutes.
Pour the milk into a jug through a sieve, removing the onion, bay leaves and peppercorns (discard these). Return the milk to the pan over a low heat. Add the breadcrumbs and plenty of salt and pepper. Keep the heat low and stir continuously for 3-5 minutes or until the sauce is very thick.
Add the double cream and stir over the low heat for about 1-2 minutes until hot through (add more double cream if you like, depending on how thick you like your bread sauce). Season to taste with salt and pepper.
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To make ahead: You can make this up to 3 days in advance (keeping it covered in the fridge) and reheat it in the microwave or hob. It will thicken further if you do this. Add a little more milk and/or cream to get the texture you’d like.