Remove crust from bread. Arrange bread on the bottom of a 9x13 casserole dish.
Combine chicken, onion, celery, bell pepper, salt, pepper and mayonnaise. Spoon over bread.
Combine egg, milk and margarine. Pour over chicken mixture.
Cover and chill overnight.
Before baking, spoon undiluted cream of mushroom soup over top, covering all.
Bake at 350 degrees for 50 minutes.
Sprinkle cheese on top during last 30 minutes of baking.