01 - Preheat your oven to 425°F. Line a baking sheet with parchment paper.
02 - Pat the beef fillets dry with paper towels. Season generously on all sides with salt and freshly ground black pepper.
03 - Heat a skillet over high heat until smoking hot. Sear the fillets for 1 minute on each side until well browned. Remove from skillet and let cool completely.
04 - Melt butter in the same skillet over medium heat. Add shallot and garlic, sauté for 1 minute until fragrant. Add mushrooms and thyme; cook until all moisture evaporates and mixture becomes paste-like, about 8-10 minutes. Stir in sherry or wine if using. Season with salt and pepper. Let cool completely.
05 - Brush each cooled beef fillet generously with Dijon mustard on all sides.
06 - Lay out a slice of prosciutto on a clean surface. Spread a spoonful of cooled mushroom paste evenly over it. Place a mustard-coated beef fillet on top, then wrap the prosciutto tightly around the beef. Repeat for all fillets.
07 - Cut the puff pastry into 6 squares, large enough to fully encase each wrapped fillet.
08 - Place a prosciutto-wrapped beef fillet in the center of each pastry square. Brush the pastry edges with beaten egg. Fold the pastry over the beef, sealing edges tightly. Place seam-side down on the prepared baking sheet.
09 - Brush the tops and sides of each Wellington with beaten egg. If desired, decorate with pastry scraps, attaching with egg wash.
10 - Bake for 20-25 minutes, or until pastry is deep golden brown and beef reaches desired doneness (medium-rare: 125°F internal temperature).
11 - Let Wellingtons rest for 5 minutes before serving to allow juices to redistribute.