Preheat oven to 425 degrees F.
Season pork tenderloin with salt, pepper, and dried thyme. Set aside.
Roll out thawed puff pastry dough so that its as long as your tenderloin and wide enough to fully wrap around it.
Arrange the prosciutto so that there is a thin layer covering the dough. Spread dijon mustard over the top.
In a large skillet over high heat, melt butter with olive oil. Cook mushrooms and shallots in a single layer, stirring only occasionally, until golden brown, about 5-10 minutes. Remove from pan and set aside.
Add seasoned pork tenderloin to the hot pan and brown on all sides, about 1-2 minutes per side.
Spread sautéed mushroom mixture on top of the prosciutto in a single layer. Add seared tenderloin. Insert meat thermometer into the thickest part of the meat at the end - the thermometer will be able to stick out even after rolled. Roll tenderloin in dough and seal the edge with the beaten egg. Place the wellington on a parchment lined or stone baking sheet, seam side down. Brush top of dough with egg wash and cut slits in the top to release steam.
Cook in preheated oven for 20-30 minutes. Time will vary depending on size and starting temperature of the meat. Remove from oven when the internal temperature has reached between 140 degrees F (medium rare) and 150 degrees F (medium). Allow meat to rest 3 minutes before slicing. Enjoy!