Prepare and bake the cake mix according to package directions for baking in a 9x13 pan.
Cool in the pan for 15 minutes. Using the handle of a wooden spoon, poke holes all over the cake going all the way down to the bottom.
Combine the pudding mix and cold milk in a large bowl. Whisk for two minutes. Pour half of the pudding over the cake so that it runs down into the holes made with the spoon.
Let the remaining pudding stand for 5 minutes so that it thickens. Pour the remaining pudding over the cake and spread evenly over the top.
Top the cake with marshmallows and refrigerate for at least 1 hour.
When ready to serve, remove cake from refrigerator and heat the broiler. Place the cake in the oven and broil until marshmallows are golden brown, 1 to 2 minutes.