Season the beef tenderloin with sea salt and black pepper on all sides.
Heat avocado oil in a cast-iron skillet over high heat and sear the beef for 1 minute per side until browned, then remove and let cool.
Finely mince the mushrooms, shallot, and garlic, then sauté in the same skillet until all moisture has evaporated and the mixture is concentrated.
Stir in the fresh thyme and let the mushroom duxelles cool completely.
Lay a piece of plastic wrap down, place the prosciutto slice on top, spread the mushroom duxelles over the prosciutto, and place the beef in the center.
Roll the beef tightly in the prosciutto and plastic wrap, then chill in the refrigerator for 15 minutes to set the shape.
Roll out the puff pastry on a lightly floured surface, unwrap the beef, and place it on the pastry.
Fold the pastry over the beef, trimming any excess, and seal the edges with a bit of water.
Brush the pastry with a beaten egg and bake at 425°F for 15-20 minutes until the pastry is golden and the beef reaches your desired doneness.