Start by heating a skillet over high heat and seasoning the beef tenderloin generously with salt and pepper. Sear the beef for about 2-3 minutes on each side until browned and caramelized. Afterward, transfer the beef to a plate and allow it to rest for 10 minutes.

In the same skillet, reduce the heat to medium and add finely chopped mushrooms and minced shallots, sautéing for approximately 5-6 minutes until the mixture is cooked down and moisture has evaporated. Season generously with salt and pepper.

Roll out the thawed puff pastry on a lightly floured surface until it's about ¼ inch thick. Cut the pastry into squares. Place a tablespoon of mushroom duxelles in the center of each square, followed by the seared beef. Carefully wrap the pastry around the filling.

Preheat your oven to 400°F (200°C) while you prep the egg wash by whisking one egg. Brush the assembled Wellingtons with the egg wash to ensure they bake to a golden hue. Place them seam side down on a parchment-lined baking sheet.

Slide the baking sheet with the Wellingtons into the preheated oven and bake for 25-30 minutes, until the pastry is puffed and golden brown.

Once baked, remove the Wellingtons from the oven and let them rest for 5 minutes before serving. Serve alongside the creamy horseradish sauce for that delightful kick.