Preheat your oven to 400°F (200°C).
Remove the filet mignon from the refrigerator and let them come to room temperature for 30 minutes.
Season both sides of the filet mignon generously with kosher salt and black pepper.
Press the seasonings into the meat so they stick.
In an oven-safe skillet, heat the canola oil over medium-high heat until hot.
Add the filets to the pan and sear for 2-3 minutes on each side until browned.
Add the butter, garlic, and thyme to the pan and baste the steaks with the melted butter using a spoon.
Transfer the skillet to the preheated oven.
Cook in the oven for about 6-8 minutes for medium-rare doneness or until the internal temperature reaches 130°F (54°C).
Remove from the oven and let the steaks rest for 5 minutes before serving.