Season the beef tenderloin with salt and pepper. Sear it in a hot skillet with olive oil, browning it on all sides. Let it cool completely.
Finely chop the mushrooms, onion, and garlic. Sauté them in olive oil until all the moisture has evaporated. Add the fresh thyme.
Arrange the prosciutto slices in an overlapping pattern on a sheet of parchment paper. Spread the mushroom mixture evenly over the prosciutto, then place the beef tenderloin on top.
Tightly wrap everything in plastic wrap and refrigerate for 20 minutes to firm up.
Roll out the puff pastry. Remove the chilled beef from the plastic wrap and place it on the pastry. Wrap the pastry around the beef, sealing the edges. Brush with beaten egg.
Preheat the oven to 400°F (200°C). Bake the Beef Wellington for 25-30 minutes, or until the pastry is golden brown.
Let it rest for 10 minutes before slicing and serving.
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