Prepare the beef by patting each filet dry with paper towels and seasoning generously with salt and pepper on all sides. This helps create a beautiful crust when searing.
Heat olive oil in a large skillet over high heat until almost smoking. Sear the filets for 1-2 minutes on each side until browned but still rare inside. We’re just creating a flavorful crust here, not cooking them through.
Remove the filets to a plate and immediately brush each with Dijon mustard while still warm. The heat helps the mustard adhere and infuse flavor. Let cool completely, then refrigerate for 20 minutes.
Make the mushroom duxelles by placing mushrooms, shallots, and garlic in a food processor and pulsing until finely chopped but not pureed. You want texture, not paste.
Cook the mushroom mixture in the same skillet over medium heat, stirring frequently until all moisture evaporates, about 8-10 minutes. The mixture should be dry and intensely flavored.
Add thyme and optional sherry to the mushroom mixture, cooking until liquid evaporates. Season with salt and pepper, then cool completely. This step is crucial – warm duxelles will melt your pastry.
Prepare your assembly station by laying out plastic wrap sheets slightly larger than will be needed to wrap each filet. Place a slice of prosciutto on each plastic wrap sheet.
Spread mushroom mixture evenly on top of each prosciutto slice, then place a cooled filet in the center of each. Use the plastic wrap to tightly wrap each bundle, twisting the ends to create a tight package. Refrigerate for 20 minutes.
Preheat the oven to 425°F (220°C) and line a baking sheet with parchment paper. Roll out puff pastry sheets on a lightly floured surface.
Cut pastry into squares large enough to completely encase each beef bundle with a slight overlap. Unwrap the beef bundles from plastic and place each in the center of a pastry square.
Fold pastry corners over the beef, sealing the edges with egg wash. Make sure there are no gaps where juices could escape during baking.
Transfer wellingtons to the baking sheet, seam side down. Brush the tops and sides with egg wash and cut a small X in the top of each to vent steam.
Bake for 20-25 minutes until the pastry is golden brown and the internal temperature reaches 125°F for medium-rare. Let rest for 5 minutes before serving to allow juices to redistribute.