Preheat oven to 350°F (175°C). Grease and flour a Bundt pan.
In a large bowl, combine cake mix, sour cream, oil, water, and eggs. Beat on low speed until blended, then on medium speed for 2 minutes.
In a separate bowl, mix pecans, brown sugar, and cinnamon.
Pour half of the batter into the prepared pan. Sprinkle the pecan mixture over the batter. Pour the remaining batter over the pecan mixture.
Bake for 60 minutes or until a toothpick inserted into the center comes out clean. Cool in the pan for 10 minutes, then remove to a wire rack to cool completely.
For the glaze, mix powdered sugar, milk, and vanilla extract until smooth. Drizzle over the cooled cake.