Preheat the oven to 425°F (220°C).

Heat the olive oil in a large skillet over medium heat. Add the mushrooms, shallot, and garlic and cook until the mushrooms are tender and the liquid has evaporated, about 8 minutes.

Add the butter and cook for an additional 2 minutes. Stir in the white wine and cook until the liquid has evaporated.

Stir in the heavy cream and cook for 2 more minutes. Remove from the heat and let cool.

Season the filet mignon all over with salt and pepper. Spread the mushroom mixture evenly over the top of the filet.

Roll out the puff pastry to a large rectangle, big enough to wrap around the filet. Place the filet in the center of the puff pastry and brush the edges with the beaten egg.

Fold the pastry up and around the filet, pressing to seal the edges. Transfer the filet to a baking sheet and brush the top with the remaining beaten egg.

Cut a few slits in the top of the pastry to allow steam to escape.

Bake the filet for 25-30 minutes or until the pastry is golden and the internal temperature reaches 130°F (54°C) for medium-rare.

Remove from the oven and let rest for 10 minutes before slicing.

While the filet is resting, make the red wine sauce. In a small saucepan, combine the red wine, beef broth, and 1 tablespoon of butter.

Bring to a boil over medium heat. In a small bowl, whisk together the cornstarch and water.

Stir the cornstarch mixture into the red wine sauce and cook until the sauce has thickened, about 2 minutes. Season with salt and pepper to taste.

Slice the beef Wellington into 1-inch thick slices and serve with the red wine sauce on the side. Enjoy!