In a small bowl, sprinkle the gelatin over the cold water and let it sit for five minutes to bloom.
In a saucepan, heat the heavy cream, milk, and sugar over medium heat until the sugar dissolves and the mixture is hot, but not boiling.
Remove from heat and stir in the vanilla extract and the bloomed gelatin until the gelatin is completely dissolved.
Divide the cream mixture evenly among four ramekins or glasses. Refrigerate for at least three hours until set.
Once the panna cotta is firm, spoon a layer of mango puree over the top of each glass and chill for one more hour before serving.