Creating Beef Wellington is a rewarding process. Follow these steps to achieve the perfect dish:

1. Prepare the Beef: Season the beef fillet generously with salt and black pepper. Sear it in a hot skillet with olive oil for about 2-3 minutes on each side until browned. Remove from heat and let it cool.
2. Make the Duxelles: In the same skillet, add the finely chopped mushrooms and cook until they release moisture and become dry. This should take about 10-15 minutes. Stir in the thyme and season with salt and pepper. Remove from heat and let cool.
3. Apply the Mustard: Once the beef has cooled, spread Dijon mustard evenly over the top and sides of the fillet.
4. Wrap with Prosciutto: On a sheet of plastic wrap, lay down the prosciutto slices, slightly overlapping. Spread the cooled mushroom mixture over the prosciutto. Place the beef fillet on top and roll it tightly using the plastic wrap. Refrigerate for 15-20 minutes to set the shape.
5. Prepare the Puff Pastry: Roll out the puff pastry on a floured surface into a rectangle large enough to encase the beef. Remove the plastic wrap from the beef and place it in the center of the pastry.
6. Wrap the Beef: Fold the pastry over the beef, sealing the edges well. Trim any excess pastry and crimp the edges to ensure it stays closed. Place the wrapped Beef Wellington seam-side down on a baking sheet.
7. Apply Egg Wash: Brush the top and sides of the pastry with the beaten egg to give it a golden color when baked.
8. Bake: Preheat your oven to 400°F (200°C). Bake the Wellington for 30-35 minutes, or until the pastry is golden brown and the internal temperature of the beef reaches 125°F (52°C) for medium-rare.
9. Rest: Remove the Beef Wellington from the oven and let it rest for 10-15 minutes before slicing. This allows the juices to redistribute.
10. Slice and Serve: Use a sharp knife to slice the Wellington into thick pieces for serving.

Following these steps will help you create an incredible Beef Wellington that is sure to impress.