Finely mince the cremini mushrooms, shallot, and garlic until they reach a paste-like consistency.
Sauté the mushroom mixture with fresh thyme in a dry pan over medium heat until all moisture has evaporated.
Season the beef tenderloin with sea salt and black pepper, then sear in avocado oil over high heat for 1 minute per side until browned.
Lay out the prosciutto slices on a piece of plastic wrap, spread the mushroom duxelles evenly over them, and place the beef in the center.
Roll the prosciutto tightly around the beef using the plastic wrap to help form a log, then chill in the refrigerator for 15 minutes.
Roll out the puff pastry on a lightly floured surface, wrap it around the chilled beef bundle, and seal the edges using a small amount of egg yolk.
Brush the entire exterior of the pastry with the remaining egg yolk and bake at 425°F for 15 to 20 minutes until the crust is golden.
Allow the Wellington to rest for 5 minutes before slicing to ensure the center remains tender and juicy.