Finely mince the cremini mushrooms and shallot until they reach a paste-like consistency.
Heat a dry skillet over medium-high heat and cook the mushroom mixture with fresh thyme until all moisture has evaporated.
Season the beef tenderloin with sea salt and black pepper, then sear in avocado oil for 1 minute per side until browned.
Remove beef from heat and immediately brush all sides with Dijon mustard while still warm.
Lay out a piece of plastic wrap, place the prosciutto slice down, spread the mushroom duxelles on top, and place the beef in the center.
Roll the beef tightly in the prosciutto and mushrooms using the plastic wrap, then chill in the refrigerator for 15 minutes to set the shape.
Roll the puff pastry out very thinly on a floured surface, wrap it around the chilled beef, and seal the edges.
Brush the pastry with a beaten egg wash and bake at 425°F for 15-20 minutes until the crust is golden and the internal temperature reaches 130°F.