01 - Preheat oven to 425°F. Line a baking sheet with parchment paper.
02 - Pat the beef fillets dry with paper towels. Season generously on all sides with salt and freshly ground black pepper.
03 - Heat a skillet over high heat. Sear the fillets for 1 minute on each side until browned. Remove from pan and let cool completely.
04 - Melt butter in the same skillet over medium heat. Add shallot and garlic, sauté for 1 minute. Add mushrooms and thyme; cook until all moisture evaporates and mixture becomes paste-like, about 8-10 minutes. Stir in sherry or wine if using. Season with salt and pepper. Cool completely.
05 - Brush each cooled fillet with Dijon mustard on all sides.
06 - Lay out a slice of prosciutto on a clean surface. Spread a spoonful of cooled mushroom paste over it. Place a beef fillet on top, then wrap prosciutto tightly around the beef, covering completely. Repeat for all fillets.
07 - Cut the puff pastry into 6 squares large enough to encase each fillet completely.
08 - Place the prosciutto-wrapped beef in the center of each pastry square. Fold the pastry over the beef, sealing edges by brushing with egg wash and pressing firmly to seal.
09 - Place Wellingtons seam-side down on the prepared baking sheet. Brush the tops and sides with egg wash. If desired, decorate with pastry scraps using additional egg wash to adhere.
10 - Bake for 20-25 minutes, or until pastry is golden brown and beef reaches desired doneness (medium-rare: 125°F internal temperature).
11 - Remove from oven and let rest for 5 minutes before serving to allow juices to redistribute.