Prepare the pudding: Add the pudding mix and cold milk to a large bowl. Whisk together for about 2 minutes, until smooth and free of lumps.
Mix in the Nutella: Stir in the Nutella until completely incorporated. Set the pudding aside for about 5 minutes so it can thicken.
Fold in the Cool Whip: Gently fold the thawed Cool Whip into the chocolate pudding until combined. Avoid over-mixing so the filling stays light and airy.
Layer the cups: Add Oreo crumbs to the bottom of each cup, spoon the prepared pudding over the cookies, and finish with another generous layer of crumbs.
Decorate and serve: Top each cup with 3 gummy worms. Tuck a few ends underneath the crumbs so the worms look like they are crawling through the dirt. Serve right away or chill until needed.