Pat the beef tenderloin dry and season it with salt and pepper.
Heat olive oil in a skillet over high heat and sear the beef on all sides until browned.
Remove the beef from the pan, let it cool slightly, and brush with Dijon mustard.
Finely chop mushrooms, shallot, and garlic.
Cook the mushroom mixture with butter and thyme until all moisture evaporates and a duxelles forms.
Lay prosciutto slices on plastic wrap in an overlapping layer.
Spread the mushroom duxelles over the prosciutto.
Place the beef on top and roll tightly using the plastic wrap.
Chill the wrapped beef for 15 to 20 minutes.
Roll out the puff pastry lightly and place the chilled beef in the center.
Wrap the pastry around the beef and seal the edges.
Brush with egg wash and chill again for 15 minutes.
Bake at 400°F for 35 to 45 minutes until golden brown.
Remove from the oven and rest for 10 to 15 minutes before slicing.
Serve with your preferred side dishes and sauce.