Preheat your oven to 425°F.
Place the beef tenderloin on a baking sheet lined with parchment paper.
Rub with olive oil, salt, and pepper.
Roast the beef for about 30 minutes until an instant-read thermometer reads 120°F in the center.
Transfer to a cutting board and let it cool.
Sauté the chopped mushrooms and minced shallots in a skillet over medium heat until most of the moisture evaporates.
Let the mixture cool.
Roll out the puff pastry on a floured surface.
Spread Dijon mustard over the cooled tenderloin.
Wrap with prosciutto and then wrap with mushroom mixture.
Place the wrapped beef onto the puff pastry.
Fold and seal it, then brush with beaten egg.
Bake for about 35 minutes at 400°F until golden brown.