In a small bowl, combine the warm water, warm milk, sugar, and active dry yeast. Stir gently and let sit for 5 to 10 minutes until the mixture is foamy.
In a large mixing bowl, whisk together the bread flour and salt.
Make a well in the center of the dry ingredients and add the yeast mixture, olive oil, and egg.
Mix with a wooden spoon or dough hook attachment until a rough dough forms.
Turn the dough out onto a lightly floured surface and knead for about 8 to 10 minutes until smooth and elastic. Alternatively, knead with a stand mixer fitted with a dough hook for 6 to 7 minutes on medium speed.
Place the dough in a lightly oiled bowl, cover with a clean kitchen towel or plastic wrap, and let it rise in a warm place for about 1 hour or until doubled in size.
Punch down the risen dough and turn it out onto a lightly floured surface.
Shape the dough into a loaf by flattening it into a rectangle approximately 9 by 12 inches, then rolling it tightly from one short edge to the other, pinching the seam to seal.
Place the shaped loaf seam-side down into a greased 9×5-inch loaf pan.
Cover the loaf with a towel or plastic wrap and let it rise for 30 to 40 minutes, or until the dough has risen about 1 inch above the rim of the pan.
Preheat the oven to 375°F (190°C).
Bake the bread for 25 to 30 minutes until the crust is golden brown and the loaf sounds hollow when tapped on the bottom.
Remove the bread from the oven and immediately transfer it to a wire rack to cool completely before slicing.