Season the beef tenderloin with sea salt and black pepper on all sides.
Heat avocado oil in a cast iron skillet over high heat and sear the beef for 1 minute per side until browned, then remove and let cool.
Finely mince the mushrooms, shallots, and garlic, then sauté in the same skillet with fresh thyme until all liquid has evaporated and the mixture is dry.
Lay a sheet of plastic wrap on a flat surface and arrange the prosciutto slices in an overlapping rectangle.
Spread the mushroom duxelles evenly over the prosciutto, place the beef in the center, and roll tightly using the plastic wrap to form a log.
Chill the beef roll in the refrigerator for 20 minutes to set its shape.
Roll out the puff pastry thinly, place the chilled beef in the center, and wrap the pastry around it, trimming any excess and sealing the edges with a bit of whisked egg.
Brush the exterior of the pastry with the remaining egg wash and bake at 400°F for 20 minutes or until the pastry is deeply golden and the beef reaches an internal temperature of 125°F for medium-rare.