Preheat oven to 350 degrees Fahrenheit. Line a rimmed baking sheet with parchment paper, arrange fillo shells evenly on the baking sheet.
Divide the ham steak up between the fillo shells and sprinkle some shredded cheese over that. Set aside.
In a large bowl, whisk together the eggs and milk until light and frothy, then portion out among the fillo shells, filling each fully (it will settle as it bakes a bit). There may be some left, depending on the size of your shells; feel free to cook it off as scrambled eggs.
Bake for 25-30 minutes, or until lightly browned on the edges and firm in the middle.