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Preheat oven to 450°.
Roll tenderloin in plastic like a log and twist ends of plastic tight. This will help with starting shape of tenderloin.
In a frying pan over medium-high heat, add olive oil. When oil shimmers, add mushrooms and shallots. Season well with salt and pepper, add thyme and cook until mushrooms reduce and liquid evaporates, about 10 minutes. Add sherry and soy sauce and cook until liquid has evaporated, another 3 minutes. Season to taste, remove from heat, and let cool.
Unwrap beef and season liberally on all sides with salt and pepper.
In another frying pan over high heat, add canola oil. When oil shimmers, add beef and sear all sides of beef until browned. Transfer to a plate. Slather mustard over beef and then let it rest.
Lay plastic wrap on a moist cutting board. Lay prosciutto on plastic width of tenderloin. Spread mushroom-shallot mixture evenly over prosciutto. Place tenderloin on bottom of ham and mushrooms. Pour any resting juices from beef over mushrooms showing. Using plastic wrap to lift as you pull prosciutto-mushroom mixture over beef, roll beef up completely, smoothing plastic and twisting ends to form a tight package. Refrigerate for 20 minutes.
Again lay plastic on a moist cutting board. Place puff pastry in center, do not add flour. Use a rolling pin or dowel to evenly roll it to 1/8″ thick. Unwrap beef and place on pastry 1/3 of the way up. Lightly brush pastry with egg wash and season with salt and pepper. Lift plastic wrap up and roll pastry over beef, until edges meet.
Trim any excess, then massage pastry, smoothing it evenly across and sealing seam. Twist plastic taking excess pastry with it, until pastry melts together, and cut off ends. Unwrap wellington, discard plastic and smooth ends, then brush with egg wash. Cut additional puff pastry into 1/4″ strips and arrange in a diagonal pattern to create a decorative pastry. Season with more salt, place on a parchment-lined tray. Refrigerate for 5 minutes.
Place in center of oven and bake until golden brown, 18-20 minutes. Remove and let rest for 5 minutes before slicing and serving. To check temp of beef, insert a thermometer in one end of wellington. Do not check temp until you think it’s done. Puncturing pastry will release too much moisture.