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Pulse mushrooms in a food processor or finally chop. Finally chop shallots.
To a pan melt 3 tablespoons of butter then add your minced shallots. Cook until softened then add your minced mushrooms and thyme.
Cook until all water has evaporated and the pan is dry. Deglaze with wine, cook until wine has evaporated. Add minced parsley and salt and pepper to taste. Set aside to cool.
Sear your beef fillet in oil on all sides then remove from pan. Slice beef in half, then in 12 even sections (about ½oz each)
Season beef with salt and pepper.
Roll out a sheet of pastry dough and cut into 12 even sections
Cut prosciutto to fit the dough, leaving space around the edges, add ½ Tbsp of your mushroom duxelles then place the beef on top.
Brush dijon on the beef and water on the dough. Roll upwards then pinch the sides down, remove any excess dough then tuck the sides underneath.
Transfer to a parchment lined sheet pan, brush on egg wash then make 2 thin slices on top of your Wellingtons (to allow steam to escape during the cooking process)
Chill in the fridge for ten minutes then bake in a 375° degree oven for 12 minutes
For the gorgonzola cream sauce, blend gorgonzola, heavy cream and water in a food processor until smooth
Once Wellingtons have slightly cooled, place a dollop on your Gorgonzola sauce on top and garnish with thyme sprig tips