Preheat the oven to 400°F (200°C). Season the beef tenderloin with salt and black pepper. In a skillet, heat the olive oil over high heat. Sear the beef on all sides until browned (about 2-3 minutes per side). Remove from heat and let it cool.

Prepare the Mushroom Duxelles

In the same skillet, add the chopped mushrooms, shallots, garlic, and thyme. Cook over medium heat until the mixture is dry and browned (about 10 minutes). Let it cool.

Assemble the Wellington

Lay out the prosciutto slices on a sheet of plastic wrap, slightly overlapping. Spread the cooled mushroom mixture over the prosciutto. Place the beef on top and roll it tightly using the plastic wrap. Chill for 15 minutes.

Wrap in Puff Pastry

Roll out the puff pastry on a floured surface. Unwrap the beef from the plastic wrap and place it in the center of the pastry. Fold the pastry over the beef, sealing the edges. Brush the top with beaten egg.

Bake

Place the wrapped beef on a baking sheet and bake in the preheated oven for 25-30 minutes or until the pastry is golden brown and the beef reaches your desired doneness. Let it rest for 10 minutes before slicing.