Season the beef fillet with salt and pepper.
Heat the olive oil in a pan and sear the beef on all sides until browned. Remove from the pan and let it cool.
In the same pan, melt the butter and add the chopped mushrooms and thyme. Cook until the mushrooms release their liquid and it evaporates.
Add the white wine to the mushrooms and continue cooking until most of the liquid has evaporated. Remove from heat and let it cool.
Spread the prosciutto slices on a sheet of plastic wrap, slightly overlapping.
Spoon the cooled mushroom mixture onto the prosciutto, forming an even layer.
Place the seared beef fillet on top of the mushroom layer and wrap the prosciutto and mushrooms around it, pressing firmly.
Roll out the puff pastry on a floured surface to a thickness of about 3mm.
Place the wrapped beef fillet in the center of the pastry and fold the pastry over, sealing it well.
Brush the pastry with beaten egg yolk.
Transfer the beef wellington to a baking sheet and bake in a preheated oven at 200°C for about 40-45 minutes until the pastry is golden brown.
Remove from the oven and let it rest for a few minutes before slicing.