Pat filets dry, then season with salt and pepper.
Heat olive oil in a cast-iron skillet over medium-high heat.
Sear filets for 2 minutes per side until browned. Transfer to a plate to cool.
Make the Duxelles
In the same skillet, melt butter. Add mushrooms, shallots, garlic, and thyme.
Cook for 8–10 minutes until all moisture evaporates.
Stir in Boursin cheese, then spread on a plate to cool.
Assemble the Wellington
Roll out puff pastry on a floured surface. Cut into 4 squares.
Spread 1 tbsp duxelles on each square, place a filet in the center, and wrap tightly. Seal edges with a fork.
Brush with egg wash (1 egg + 1 tbsp water).
Bake
Preheat oven to 425°F (220°C).
Bake Wellingtons on parchment paper for 20–25 minutes until golden.
Rest for 10 minutes before slicing.