Preheat oven to 200°C (fan 180°C).
Heat 1 tbsp oil or butter in a pan. Add the finely chopped shallot and garlic, cook for 1–2 mins. Add mushrooms, thyme, salt and pepper. Cook over medium heat until the mixture is dry and paste-like (10–15 mins). Let cool completely.
Sear the fillet: Pat the fillet steak dry and season well. Heat a pan over high heat and sear the steak for 30 seconds per side. Remove and let cool.
Optional: Brush the fillet with a little mustard.
Lay out a sheet of cling film. Place the prosciutto slices slightly overlapping. Spread the mushroom mixture on top. Place the fillet in the centre and roll everything up into a tight log (use the corners of the cling film and gently pull over the steak to help roll) twist the ends of the cling film to secure. Chill in the fridge for 10–15 minutes.
Roll out the puff pastry on a lightly floured surface.
Remove the cling film from the steak, place the steak in the centre of pastry, Wrap the pastry around the steak, seal (pinch the pastry joins together. Place seam-side down on a lined baking tray.
Brush the pastry with beaten egg yolk, then lightly score the top or use a lattice pastry cutter for a decorative finish. Bake for 20–25 minutes, or until pastry is golden and internal temp of beef is ~50–52°C for medium-rare. Then remove from the oven and let rest for 5–10 minutes before slicing
To use a lattice pastry cutter, roll it firmly across a separate sheet of pastry, gently stretch it open to reveal the lattice pattern, then lay it over the top of the wellington before brushing with egg yolk
Serve with vegetables and roast potatoes