Preheat the oven to 200°c (fan assisted)/425°f/gas 7.
Combine the butternut squash, a good drizzle of olive oil and a sprinkle of salt and black pepper on a baking tray. Give everything a good mix, then roast for 35-40 minutes, or until lovely and soft.
Heat a good glug of olive oil in a large frying pan over a medium heat. Once hot, add the mushrooms and onion and fry for 10-12 minutes, or until very soft. Add the chestnuts, walnuts, sage and thyme, season and fry for a further 5 minutes, until everything has softened and the onions are starting to caramelise.
Remove the pan from the heat and add the roasted squash. Use a potato masher to mash everything together into a chunky paste, then taste and adjust the seasoning, if needed. Allow the mixture to cool completely.
Unroll the puff pastry sheet and spoon the filling into a tight log over ⅓ of the width, leaving a little gap at each end of the pastry clean (this will help with the joining). Fold the pastry tightly around the filling, then crimp the sides together to create a tight seal. Use the back of a knife to lightly press a diamond pattern into the pastry (being careful to not cut through it), then brush the wellington all over with olive oil.
Transfer the wellington onto a lined baking tray and bake for 30-35 minutes, or until golden brown all over. Allow to cool for 5 minutes before slicing and serving.
