Season the beef tenderloin generously with salt and pepper. Heat a skillet over medium-high heat and add olive oil. Sear the beef for about 2-3 minutes on each side until a rich, golden-brown crust forms. Remove from heat and let cool for 10 minutes.

In the same skillet, add chopped mushrooms and shallots. Sauté over medium heat for about 5-7 minutes, adding thyme and salt until the mixture softens and most of the moisture evaporates. Allow to cool completely.

Roll out the thawed puff pastry into a rectangle, about 1/8 inch thick. Cut into squares large enough to fold over the filling.

Spread a layer of the cooled mushroom duxelles in the center of each square, then place the seared beef tenderloin on top. Fold the edges of the pastry over the filling, sealing it tightly.

Preheat the oven to 400°F (200°C) and prepare a baking sheet lined with parchment paper.

Whisk an egg in a small bowl for an egg wash. Brush the tops of each Wellington with the egg wash and cut small slits in the pastry to allow steam to escape.

Bake the Wellingtons for 25-30 minutes, or until they are puffed and golden brown.

Let the Wellingtons rest for 5 minutes. Serve warm with the creamy horseradish sauce.