Season the beef tenderloin with sea salt and black pepper on all sides.
Heat olive oil in a skillet over high heat and sear the beef until browned on all sides, then remove and brush with Dijon mustard while still warm.
Finely mince the cremini mushrooms, shallots, and garlic, then sauté in the same skillet with fresh thyme until all moisture has evaporated and a thick paste forms.
Lay a sheet of plastic wrap on a flat surface, place the prosciutto slice down, and spread the mushroom duxelles evenly over the prosciutto.
Place the seared beef in the center and roll the prosciutto and mushrooms tightly around it using the plastic wrap, then chill in the refrigerator for 20 minutes to set.
Roll out the puff pastry on a lightly floured surface, place the chilled beef bundle in the center, and wrap it completely, trimming any excess dough and sealing the edges.
Brush the exterior of the pastry with the beaten egg yolk and score the top lightly with a knife for decoration.
Bake at 400°F for 20 to 25 minutes until the pastry is golden brown and the internal temperature of the beef reaches 130°F, then rest for 10 minutes before slicing.