Preheat oven to 400°F (200°C). Season the beef tenderloin generously with salt and pepper. Heat olive oil in a large skillet over high heat. Sear the beef on all sides until browned, about 2-3 minutes per side. Remove from skillet and let cool completely.

While the beef cools, prepare the duxelles. In the same skillet, melt butter over medium heat. Add chopped mushrooms and shallots; cook, stirring occasionally, until all moisture has evaporated and the mixture is dry, about 10-15 minutes. Stir in garlic and thyme; cook for another minute. Deglaze the pan with sherry or Madeira wine, scraping up any browned bits. Season with salt and pepper. Let cool completely.

On a clean surface, lay out a large sheet of plastic wrap. Arrange prosciutto slices in a slightly overlapping rectangle. Spread the cooled duxelles evenly over the prosciutto. Place the seared beef tenderloin in the center and wrap tightly with the prosciutto and plastic wrap. Twist the ends of the plastic wrap to create a log. Refrigerate for at least 30 minutes to firm up.

On a lightly floured surface, roll out the first sheet of puff pastry into a rectangle large enough to wrap the beef wellington. Remove the beef from the refrigerator, unwrap the plastic wrap, and place the beef in the center of the puff pastry. Brush the edges of the pastry with egg wash. Wrap the pastry tightly around the beef, sealing the edges. Trim any excess pastry and crimp the edges to seal.

Repeat the process with the second sheet of puff pastry if necessary, depending on the size of the beef. Place the wrapped wellington on a baking sheet lined with parchment paper. Brush the entire surface with egg wash. You can score the top of the pastry with a sharp knife for decoration.

Bake in the preheated oven for 45-60 minutes, or until the pastry is golden brown and the internal temperature of the beef reaches the desired doneness (130°F/54°C for medium-rare). Let rest for at least 10 minutes before slicing and serving.