Start by making the duxelles, the mushroom mixture. Pulse mushrooms in batches in a food processor until finely minced. Also, mince the shallots and thyme leaves.
In a large cast iron skillet over medium heat, melt 2 tbsp of butter. Add in the mushrooms, shallots, and thyme mixture. Cook, stirring occasionally, until most of the moisture is cooked off.
Deglaze the mushroom mixture with ½ cup of bourbon. Cook until all of the bourbon is absorbed by the mixture and moisture is completely cooked off. Remove the mushroom duxelles from the heat and set aside.
Season beef tenderloin generously with OTF Bourbon Prime Rub. Over high heat on the grill, quickly sear each side of the tenderloin (just a sear, we will cook the beef in the oven). Remove from heat and place on a cutting board.
While the tenderloin is resting on the cutting board, brush on the 2 tbsp of Dijon mustard. Cover all sides of the beef. Set beef aside to rest.
On a clean countertop, lay out a piece of plastic wrap large enough for wrapping the whole tenderloin.
On the plastic wrap, make a prosciutto layer in the shape of a rectangle large enough to wrap the whole tenderloin in.
Over the prosciutto, spread the cooled duxelles mixture, leaving a 1-inch edge on all sides. This is easiest to do with bare hands.
Place the mustard-covered tenderloin in the middle of the two layers. We are going to use plastic wrap to tightly encase the layers of prosciutto and duxelles around the tenderloin.
Once wrapped, repeatedly gently roll the sides so that the entire log becomes one tight unit. Place the wrapped tenderloin in the fridge to rest for at least 1-2 hours, or even overnight.
Preheat the covered grill to 400 degrees F for indirect heat.
Roll out 1 sheet of puff pastry on a lightly floured surface. Roll it out so that it's large enough to wrap around the entire tenderloin.
Crack 2 eggs into a small bowl and beat with a fork. Set aside.
Remove the tenderloin from the fridge and unwrap from the plastic wrap.
Place the tenderloin on the rolled-out puff pastry. Brush the edges of the puff pastry with egg wash to seal. Make sure the puff pastry completely covers the tenderloin and is completely sealed. Transfer the Wellington to an oiled baking sheet seam side down.
Completely cover the outside of the puff pastry with the egg wash. Use an additional sheet of puff pastry to cut out a design to layer over the Wellington, if desired. Garnish with flaky salt.
Cook at 400 degrees F for 45 min or until the desired internal temp is reached. I highly recommend using a leave-in digital thermometer to hit the perfect temp. I pulled mine at 125 degrees internal for Medium Rare.
Once done cooking, cover and let the Wellington rest for at least 15 min. Slice that beautiful roast open and serve to your impressed guests!