Finely mince the cremini mushrooms, shallots, and thyme, then sauté in a dry pan over medium heat until all moisture has evaporated.
Season the beef tenderloin with sea salt and black pepper, then sear in a hot pan with avocado oil for 1 minute per side until browned.
Remove the beef from the pan and immediately brush all sides with Dijon mustard while it is still warm.
Lay out a piece of plastic wrap and place the prosciutto slices on it, slightly overlapping to form a rectangle.
Spread the mushroom duxelles evenly over the prosciutto, then place the beef in the center and roll it up tightly using the plastic wrap.
Chill the beef roll in the refrigerator for 15 minutes to help it maintain its shape.
On a surface lightly dusted with flour, roll out the puff pastry, unwrap the beef, and place it in the center of the pastry.
Fold the pastry over the beef, trim any excess dough, and seal the edges using a small amount of beaten egg.
Brush the entire exterior of the pastry with the remaining egg wash and bake at 425°F for 18-20 minutes until the crust is crisp and golden.