Season the beef tenderloin with salt and pepper. Heat olive oil in a skillet over high heat and sear the beef on all sides until browned. Remove from heat and let it cool.

Make the Mushroom Duxelles

In the same skillet, add shallots, garlic, and mushrooms. Cook until moisture evaporates and mixture is dry. Stir in thyme and let cool.

Assemble the Wellington

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

Wrap with Puff Pastry

Roll out the puff pastry sheets. Remove the beef from plastic wrap and place it on the pastry. Brush the edges with beaten egg, then fold over and seal. Brush the top with more egg.

Bake

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