Finely mince the cremini mushrooms, shallot, and garlic until they form a coarse paste.
Place the mushroom mixture in a dry skillet over medium heat and sauté with fresh thyme until all moisture has evaporated and the mixture is dark and concentrated.
Season the beef tenderloin with sea salt and black pepper on all sides.
Heat avocado oil in a heavy-bottomed pan over high heat and sear the beef for 1 minute per side until a brown crust forms, then remove and immediately brush with Dijon mustard.
Lay a piece of plastic wrap on a clean surface and place the prosciutto slice on it, followed by an even layer of the mushroom duxelles.
Place the seared beef in the center, roll it tightly inside the prosciutto and plastic wrap, and refrigerate for 15 minutes to firm up.
Preheat your oven to 425°F and lightly flour a surface to roll out the puff pastry into a rectangle large enough to cover the beef.
Unwrap the chilled beef, place it on the pastry, and fold the pastry over to seal, trimming any excess and using a beaten egg to glue the edges.
Place the Wellington on a parchment-lined baking sheet, brush the top with the remaining egg wash, and bake for 15 to 20 minutes until the pastry is golden brown.
Allow the beef to rest for 5 minutes before slicing into thick rounds.