Season the beef tenderloin on all sides with salt and pepper.
Next heat 1 tablespoon of olive oil in a large sauté pan and sear the beef on all sides until it is golden brown all around. Wrap it up tight in plastic wrap and refrigerate for 30 minutes or until cool.
Add the mushrooms, shallot and garlic cloves to a food processor and process on high until it is smooth.
Heat 1 tablespoon of olive oil in a separate large sauté pan on high heat and cook the mushroom mixture until all of the liquid is out of it.
Add in madeira wine and cook for 2 to 3 minutes. Season with salt and pepper and chill completely.
Roll out a sheet of puff pastry on a floured surface until is an additional 2” inches big on all sides.
Spread the chilled mushroom mixture all over the inside of it and place on the prosciutto ham.
Brush the chilled tenderloin on all sides with mustard and place it on the prosciutto ham and roll it up. Trim any excess.
Transfer the beef wellington to a sheet tray lined with parchment paper and brush on 1 whisked egg until coated. Make 3 scores in the top off the puff pastry.
Bake at 400° for 40 minutes or until golden brown.
Rest for 3 to 4 minutes before slicing and serving.