Season the beef tenderloin with salt and black pepper. Heat olive oil in a skillet over high heat and sear the beef on all sides until browned (about 2-3 minutes per side). Remove from heat and let it cool. Once cooled, brush Dijon mustard over the beef.

Make the Mushroom Duxelles

In the same skillet, add the finely chopped mushrooms, shallots, and thyme. Cook on medium heat until the mixture is dry and caramelized (about 10 minutes). Allow it to cool.

Assemble the Wellington

Lay out the prosciutto slices on a piece of plastic wrap, slightly overlapping. Spread the mushroom duxelles over the prosciutto. Place the beef on top and roll tightly using the plastic wrap. Chill in the refrigerator for 15 minutes.

Wrap in Pastry

On a floured surface, roll out the puff pastry. Remove the beef from the plastic wrap and place it in the center of the pastry. Wrap the pastry around the beef, sealing the edges. Brush the top with the beaten egg.

Bake

Preheat the oven to 400°F (200°C). Place the wrapped beef on a baking sheet and bake for 25-30 minutes or until the pastry is golden brown. Let it rest for 10 minutes before slicing.