Make the duxelles: saute onion and garlic in olive oil over medium high heat until translucent. Add in the mushrooms and stir. cook until soft. Add the sherry and reduce to a glaze. Add in the thyme and season with salt and pepper. Then puree in a food processor. Set aside.
Make demi glace: Saute shallots in oil over medium high heat until translucent. Add red wine and reduce until it is a glaze. Add half the stock and turn heat down to medium. Reduce by 1/2 volume. Then add the rest of the stock. Reduce by 1/2 again. Set aside.
Pre heat oven to 350 degrees fahrenheit.
Cut the tenderloin into 4 filet mignon steaks. Oil each and season with salt and pepper, coating evenly. Sear on a grille or in a saute pan over high heat until all sides are evenly browned (about 2 to 3 minutes per side.
Lay out the puff pastry sheets and paint with whisked egg. Place a spoonful or more of the duxelles in the center of each sheet (enough to cover the top of the tenderloin. Spread to the size of the steak, but keep in the center of the puff pastry. Put the steak on top of the duxelles. Then lift the 4 corners of the puff pastry and wrap around the steak. Fold them over to seal the steak in the pastry. Repeat with all the steaks. Then put them on a parchment lined sheet pan sprayed with pan spray. Brush the tops and sides of the pastry with more egg.
Bake the wellingtons for about 20 minutes. They should achieve a golden brown crust. Use a meat thermometer to test the internal temperature. You want it to be around 125 for medium rare.
Heat the demi glace and whisk in a pat of butter. Adjust the seasoning of the sauce. Sauce the plate and place the wellington on top of the sauce.
Notes
If you prefer a well done steak. Cook the steak through more before wrapping in pastry.These are individual wellingtons. If you prefer, you can leave the tenderloin whole and Wrap the entire thing, Then you can cut it to order. It will show off the medium rare center. But, be careful cutting it. The puff pastry can fall apart easily.