Clean the mushrooms using a paper towel if needed. 

Finely chop the mushrooms, garlic, and shallots or add to a food processor and pulse in bursts until finely chopped.

Heat a saute pan over medium heat and add butter. Saute the chopped mushrooms, garlic, and shallots until mushrooms are caramelized and most of the liquid is gone but be careful not to burn. If you want to add sherry, add it gradually as the mushrooms caramelize. Allow the liquid to evaporate so the mushrooms appear dry. Mix in the thyme leaves and set aside. Once cooled, move to a medium bowl and refrigerate. 

Using butcher's twine, tie the tenderloin to create a cylindrical shape. 

Pat the surface of the meat with a paper towel to dry. Coat with oil and lightly salt. 

Preheat large skilled to medium-high heat. 

Sear the sides and ends of the beef quickly. Remove from skillet and cool. 

Remove twine and once cooled, cover with plastic wrap and chill in the refrigerator. 

Lay down 2 feet of plastic wrap on your work surface. On top of the wrap, place 14 overlapping pieces of prosciutto. Be careful not to rip the prosciutto. You need enough prosciutto to wrap around the beef entirely and extend 3 inches at both ends. 

Spread the mushroom mixture evenly onto the prosciutto layer using a spatula, you can coat it in cooking spray if the mixture is sticking. 

Remove the beef and coat it in dijon mustard.

Place the beef into the center of your prosciutto. Use the plastic wrap to lift the prosciutto over the beef and wrap it around tightly. Twist the ends of the plastic wrap and secure. Place the entire package in the refrigerator to chill.

Lightly flour your countertop. Unwrap your chilled puff pastry dough, it may need to warm up slightly to be worked. Roll out the pastry until you have enough to cover the wellington, adding the second pastry package if you need more. Just join the two pastry dough sections at the edge, overlapping slightly. Your pastry should be about 1/3" thick. 

Place your puff pastry on another large piece of plastic wrap. Remove the prosciutto wrapped beef from the refrigerator, unwrap, and place on the pastry. Wrap the beef in the pastry. Join the pastry ends, leaving enough to seal the two ends together ensuring the beef is entirely encased, pressing excess dough down. Make sure to press the seal down firmly. At the ends, tuck the dough underneath the beef. If there is not enough to tuck, simply pinch the dough together firmly. 

Spray a small sheet pan with cooking spray and place the beef on it with the pastry seal side down. Brush the top with egg wash. 

Preheat oven to 425°F with a rack placed about 1/3  of the way from the bottom. 

Bake until the beef temperature reads 105-110°F. 

Remove and allow to rest uncovered for 20 minutes before serving. The meat will continue to cook in that time, bringing the temperature to 130-135°F before serving. If the temperature is lower than that, place back into the oven for 5-10 minutes more and allow to rest again, temping before serving. 

Slice in 1" slices and enjoy.