Season the beef tenderloin with salt and pepper. Heat a skillet over medium-high heat and sear the beef on all sides for about 2-3 minutes until browned. Remove and cool.

In the same skillet, add finely chopped mushrooms and sauté over medium heat until the moisture evaporates, about 8-10 minutes. Season and cool.

Roll out the puff pastry sheets to about 1/8 inch thick. Cut into squares to wrap around the beef pieces snugly.

Place a spoonful of mushroom duxelles in each pastry square and top with beef. Fold pastry around beef and seal edges.

Whisk together an egg with a little water or milk. Brush the tops of each Wellington to ensure a golden color.

Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper and bake assembled Wellingtons for 25-30 minutes until golden brown.

Let the Wellingtons rest for about 5 minutes before serving warm with creamy horseradish sauce.