Finely mince mushrooms, shallot, and garlic, then sauté in a dry pan with thyme until all moisture has evaporated.
Season the beef tenderloin with sea salt and black pepper on all sides.
Heat avocado oil in a skillet over high heat and sear the beef quickly on all sides until a brown crust forms.
Remove beef from the pan and immediately brush with Dijon mustard, then let it rest.
Lay a sheet of plastic wrap on a flat surface and arrange the prosciutto slices in an overlapping rectangle.
Spread the mushroom mixture evenly over the prosciutto, then place the beef in the center.
Use the plastic wrap to roll the prosciutto and mushrooms tightly around the beef, then chill in the fridge for 15 minutes.
Roll out the puff pastry, place the beef roll in the center, wrap it completely, and seal the seams.
Brush the pastry with a beaten egg and bake at 425°F for 18-22 minutes until the crust is golden brown.