Finely mince the mushrooms and shallots, then sauté in olive oil over medium heat until all moisture has evaporated and the mixture is dry.
Season the beef tenderloin with sea salt and black pepper on all sides.
Sear the beef in a very hot pan for about 1 minute per side until browned, then remove from heat and immediately brush 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 of the mushrooms and use the plastic wrap to roll the prosciutto and mushrooms tightly around the beef, then chill in the refrigerator for 15 minutes.
Roll out the puff pastry into a thin square on a lightly floured surface.
Unwrap the chilled beef, place it in the center of the pastry, and fold the edges over to seal completely, trimming any excess pastry.
Place the Wellington seam-side down on a baking sheet, brush the entire surface with beaten egg yolk, and bake at 400°F for 15-20 minutes until the pastry is golden brown.