Season the beef filets generously with salt and pepper on all sides, then sear them in a hot skillet with olive oil for 1 minute per side until browned but rare.

Remove the beef from the pan and brush them immediately with the Dijon mustard while they are still hot, then set aside to cool completely.

In the same skillet, add the finely chopped mushrooms, minced shallots, and thyme, cooking over medium-high heat until all the liquid has evaporated and the mixture (duxelles) is dry, about 10 minutes.

Lay out a piece of plastic wrap and arrange two slices of prosciutto on it, slightly overlapping, then spread a quarter of the mushroom mixture evenly over the ham.

Place a cooled beef filet in the center of the mushroom-covered ham, then use the plastic wrap to tightly roll the ham around the beef into a compact barrel shape; repeat for all filets and refrigerate for 15 minutes.

Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.

Roll out the thawed puff pastry on a lightly floured surface and cut it into four squares large enough to fully encase the beef bundles.

Remove the plastic wrap from the beef bundles, place each one in the center of a pastry square, fold the edges over to seal tightly, and trim any excess dough.

Place the Wellingtons seam-side down on the prepared baking sheet, brush the tops with the beaten egg, and cut small slits in the top for steam to escape.

Bake for 20-25 minutes until the pastry is deep golden brown and the internal temperature of the beef reaches 130°F to 135°F for medium-rare.

Remove from the oven and let the individual Beef Wellingtons rest for 10 minutes before serving to ensure the meat stays juicy.