Preheat your oven to 350°F (175°C) and grease a 2-quart baking dish.
In a medium saucepan, heat the milk over medium heat until it's hot but not boiling. Remove from heat.
In a large mixing bowl, beat the eggs until well combined.
Gradually add the hot milk to the beaten eggs, whisking constantly to prevent the eggs from curdling.
Stir in the sugar, vanilla extract, salt, and nutmeg until everything is well combined.
Stir in the Grape-Nuts cereal and let the mixture sit for about 10 minutes to allow the cereal to absorb some of the liquid.
Pour the mixture into the prepared baking dish.
Place the baking dish in a larger roasting pan or baking dish, and carefully pour hot water into the larger pan to create a water bath around the pudding dish. The water should come about halfway up the sides of the pudding dish.
Carefully transfer the pans to the preheated oven and bake for about 1 hour, or until the pudding is set and the top is lightly browned.
Once baked, remove the pudding from the oven and let it cool slightly before serving.
Serve warm or chilled, optionally with a dollop of whipped cream or a sprinkle of nutmeg on top. Enjoy your delicious Grape-Nut pudding!