Pat beef tenderloin dry with paper towels. Season generously with kosher salt and freshly ground black pepper on all sides.

Heat olive oil in a heavy-bottomed skillet over high heat. Sear the beef on all sides until deeply browned, about 2-3 minutes per side. Remove from heat and let cool slightly.

Once cooled, brush the entire surface of the seared beef tenderloin with Dijon mustard.

In the same skillet, add finely chopped mushrooms, shallots, and garlic. Cook over medium-high heat, stirring frequently, until all moisture has evaporated and the mixture is very dry, about 15-20 minutes. Stir in fresh thyme. Season with salt and pepper. Let cool completely.

Lay out a large piece of plastic wrap on a clean surface. Arrange the prosciutto slices, overlapping them slightly, to form a rectangle large enough to wrap the beef.

Spread the cooled mushroom duxelles evenly over the prosciutto.

Place the mustard-coated beef tenderloin at one end of the prosciutto/duxelles layer. Using the plastic wrap, carefully roll the prosciutto and duxelles tightly around the beef, creating a neat cylinder. Twist the ends of the plastic wrap to secure and refrigerate for at least 30 minutes to firm up.

On a lightly floured surface, unroll the thawed puff pastry. Trim edges if necessary to create a rectangle large enough to enclose the beef parcel.

Remove the beef parcel from the plastic wrap. Place it on the puff pastry. Gently bring the pastry over the beef, sealing the edges firmly. Trim any excess pastry. Place the seam-side down on a baking sheet lined with parchment paper.

(Optional) You can use pastry scraps to create decorative patterns on top of the Wellington.

Brush the entire surface of the puff pastry with beaten egg yolk.

Bake in a preheated oven at 400°F (200°C) for 30-40 minutes, or until the pastry is golden brown and the internal temperature of the beef reaches your desired doneness (e.g., 125°F/52°C for rare, 130-135°F/54-57°C for medium-rare).

Let the Wellington rest for 10-15 minutes before slicing and serving. Resting is crucial for the juices to redistribute.