Sear the beef tenderloin on all sides in a hot pan with olive oil until deeply browned.
Prepare the duxelles by cooking the finely chopped mushrooms with thyme, rosemary, salt, and pepper until all moisture is evaporated.
Spread Dijon mustard evenly over the seared beef tenderloin.
Lay prosciutto slices on a sheet of puff pastry.
Spread the duxelles evenly over the prosciutto.
Place the beef tenderloin on top of the duxelles and prosciutto.
Wrap the beef tenderloin tightly in the puff pastry, sealing the edges with egg wash.
Chill the wrapped Beef Wellington for at least 30 minutes.
Brush the Beef Wellington with egg wash and score the top with a sharp knife.
Bake at 400°F (200°C) for 35-40 minutes, or until the pastry is golden brown and the internal temperature of the beef reaches 125-130°F for medium-rare.
Let rest for 10 minutes before slicing and serving.