Prepare the Beef: Season the beef tenderloin with salt and pepper. In a hot skillet, sear the beef on all sides for about 2-3 minutes per side. Remove from heat and let it cool slightly. Brush with Dijon mustard.

Make the Duxelles: In the same skillet, heat olive oil over medium heat. Add finely chopped mushrooms and cook until all the moisture evaporates, and the mixture is dry. Season with salt, pepper, and fresh thyme. Let it cool.

Assemble: Lay out the slices of prosciutto on a sheet of plastic wrap, slightly overlapping. Spread the cooled mushroom mixture over the prosciutto. Place the beef tenderloin on top and roll tightly using the plastic wrap. Chill for 30 minutes.

Wrap in Puff Pastry: Roll out the puff pastry on a lightly floured surface. Unwrap the beef from the plastic wrap and place it in the center of the pastry. Fold the pastry around the beef, sealing the edges and trimming any excess. Brush with the beaten egg.

Bake: Preheat the oven to 400°F (200°C). Place the wrapped beef seam-side down on a baking sheet. Bake for 25-30 minutes or until the pastry is golden brown and crispy. Let it rest for 10 minutes before slicing.