Preheat your oven to 400°F and line a small baking sheet with parchment paper.
Season the beef tenderloin on all sides with sea salt and black pepper.
Heat olive oil in a skillet over high heat and sear the beef for 1-2 minutes per side until browned, then remove from the pan and let cool.
In the same skillet, sauté finely minced mushrooms, shallots, and garlic with fresh thyme until all liquid has evaporated and the mixture is dry.
Lay a piece of plastic wrap on a flat surface, place the prosciutto slice down, and spread the mushroom mixture evenly over the prosciutto.
Place the seared beef in the center and roll the prosciutto and mushrooms tightly around the beef using the plastic wrap; chill in the freezer for 10 minutes to set.
Roll out the puff pastry into a thin square, remove the plastic from the beef, and wrap the pastry around the beef bundle, tucking the ends underneath.
Brush the pastry with the beaten egg yolk and bake for 15-20 minutes until the pastry is golden brown and the beef reaches an internal temperature of 130°F for medium-rare.