Pour the Chex cereal into a large mixing bowl and set it aside.
In a microwave-safe bowl, combine the chocolate chips, peanut butter, and butter. Microwave in 30-second intervals, stirring each time, until the mixture is smooth and well combined. Stir in the vanilla extract.
Pour the chocolate mixture over the Chex cereal, gently folding and stirring until all the cereal is evenly coated.
Place the confectioners' sugar in a large resealable plastic bag. Add the chocolate-coated Chex cereal to the bag, seal it tightly, and shake vigorously until all the cereal is coated with the sugar.
Spread the coated cereal onto a baking sheet lined with parchment paper or wax paper and set for about 10 minutes.
Once set, sprinkle the cereal with the pretzel pieces, M&M candies, and mini marshmallows. Gently toss until everything is evenly distributed.
Store in an airtight container or divide it into festive bags or jars for gifting.