Preheat your oven to 400°F (200°C).
Season the beef tenderloin with sea salt and black pepper on all sides.
Heat olive oil in a pan over high heat and sear the beef for 2 minutes per side until browned, then remove and let cool.
Finely mince the mushrooms, shallot, and garlic, then sauté them in the same pan with thyme until all moisture has evaporated and they form a thick paste.
Brush the cooled beef tenderloin lightly with Dijon mustard.
Lay a piece of plastic wrap on a flat surface, place the prosciutto slice down, and spread the mushroom mixture evenly over it.
Place the beef in the center and roll the prosciutto and mushrooms tightly around it using the plastic wrap, then chill in the fridge for 15 minutes.
Roll out the puff pastry on a floured surface, place the chilled beef bundle in the center, and wrap the pastry around it, trimming any excess.
Seal the pastry edges with a whisked egg wash and place the Wellington seam-side down on a baking sheet.
Brush the entire exterior with egg wash and bake for 20-25 minutes until the pastry is golden brown and the beef reaches an internal temperature of 130°F.