Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
Season the beef tenderloin on all sides with sea salt and black pepper.
Heat avocado oil in a skillet over high heat and sear the beef for 2 minutes per side until a brown crust forms, then remove and brush with Dijon mustard.
Finely mince the mushrooms and shallot, then sauté them in the same skillet with fresh thyme until all liquid has evaporated and the mixture is dry.
Lay a piece of plastic wrap on a flat surface, place the prosciutto slice on top, and spread the mushroom mixture evenly over the prosciutto.
Place the beef in the center and roll the prosciutto and mushrooms tightly around the beef using the plastic wrap, then chill in the freezer for 10 minutes to firm up.
Roll out the puff pastry thinly, remove the plastic wrap from the beef, and wrap the pastry around the beef, sealing the seams with a bit of water.
Whisk the egg and brush it over the pastry, then bake for 15-20 minutes until the pastry is golden brown and the beef reaches an internal temperature of 125°F for medium-rare.
Let the Wellington rest for 5 minutes before slicing and serving.