Season the beef tenderloin with salt and pepper then sear in olive oil over high heat for 1 minute per side until browned but rare.
In the same pan, sauté finely chopped mushrooms, shallots, and garlic with thyme until all moisture has evaporated and the mixture forms a thick paste.
Lay a piece of plastic wrap on a flat surface, arrange prosciutto slices in an overlapping rectangle, and spread the mushroom duxelles evenly on top.
Place the seared beef in the center and use the plastic wrap to roll the prosciutto and mushrooms tightly around the meat then chill in the fridge for 15 minutes.
Roll out the puff pastry on a floured surface, unwrap the chilled beef, and place it in the center of the pastry.
Fold the pastry over the beef to seal it completely, trimming any excess, and brush the entire surface with the beaten egg wash.
Bake at 400°F for 20-25 minutes until the pastry is golden brown and the internal temperature of the beef reaches 125°F for medium-rare.
Allow the Wellington to rest for 10 minutes before slicing into thick rounds to ensure the juices redistribute and the pastry stays crisp.