Preheat your oven to 400°F and season the beef tenderloin evenly with the sea salt and black pepper.
Sear the beef in a hot pan for 2 minutes per side until a brown crust forms, then remove from heat and brush all over with Dijon mustard.
Finely mince the mushrooms, shallot, and garlic, then sauté them in olive oil with fresh thyme until the moisture has completely evaporated.
Lay a piece of plastic wrap on a flat surface, place the prosciutto slice down, and spread the mushroom mixture over it in an even layer.
Place the beef in the center of the mushrooms and roll it tightly into a log using the plastic wrap, then chill in the freezer for 10 minutes to set.
Unwrap the chilled beef and place it on the puff pastry, folding the dough over to seal the edges and trimming any excess pastry.
Place the Wellington on a parchment-lined tray, brush the top with a beaten egg wash, and bake for 20 minutes until the pastry is golden and crisp.