Season the beef tenderloin with sea salt and black pepper, then sear in a hot pan with olive oil until browned on all sides.
Remove the beef from the pan and immediately brush all sides with Dijon mustard, then set aside to cool.
Finely mince the mushrooms, shallot, and garlic, then sauté in the same pan with fresh thyme until all moisture has evaporated.
Lay a piece of plastic wrap on a flat surface and arrange the prosciutto slices in an overlapping rectangle.
Spread the mushroom duxelles evenly over the prosciutto, then place the beef in the center and roll it tightly using the plastic wrap.
Chill the beef roll in the refrigerator for 15 minutes to help it hold its shape.
Roll out the puff pastry on a lightly floured surface, unwrap the beef, and place it in the center of the pastry.
Fold the pastry over the beef, trimming any excess, and seal the edges with a beaten egg wash.
Place the Wellington on a baking sheet, brush the entire exterior with egg wash, and bake at 400°F for 20-25 minutes until the pastry is golden.