In a skillet over medium heat, heat the olive oil. Add shallots and garlic, sauté until translucent. Add the chopped mushrooms and thyme, season with salt and pepper. Cook until the moisture has evaporated and mixture is thick. Set aside to cool.

Sear the Filet Mignon

Season the filet mignon with salt and pepper. In the same skillet, sear it over high heat for about 2-3 minutes on each side until browned. Remove from heat and let cool.

Assemble the Wellington

On a clean surface, lay out the prosciutto slices, slightly overlapping. Spread the cooled mushroom duxelle over the prosciutto. Place the cooled filet mignon on top and roll it up tightly. Wrap it in the prosciutto and then in the puff pastry, sealing the edges with the beaten egg.

Baking

Bake the Wellington

Preheat the oven to 400°F (200°C). Place the wrapped Wellington seam side down on a baking sheet. Brush the top with beaten egg. Bake for 25-30 minutes or until golden brown and cooked to your desired doneness. Let it rest for 10 minutes before slicing.