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 1-2 minutes per side until a brown crust forms, then set aside to cool.
Finely mince the mushrooms, shallots, and garlic, then sauté them 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, place the prosciutto slice down, and spread the mushroom duxelles evenly over it.
Place the seared beef in the center of the mushrooms and roll the prosciutto and plastic wrap tightly around the beef to form a log, chilling it in the fridge for 15 minutes.
Roll out the puff pastry on a lightly floured surface, unwrap the chilled beef, and place it in the center of the pastry.
Whisk the egg with water to create an egg wash, brush the edges of the pastry, and fold it over the beef, trimming any excess and sealing the seams.
Place the Wellington on a parchment-lined tray, brush the top with egg wash, and bake at 425°F for 15-20 minutes until the pastry is golden and crisp.