Finely chop the crimini mushrooms, shallots, and fresh thyme. In a skillet over medium heat, melt unsalted butter and sauté the mixture until moisture evaporates, about 8–10 minutes. Deglaze with wine and let it reduce for 2 minutes. Remove from heat and cool.

Heat oil in a skillet over high heat. Season beef with salt and black pepper, then sear for 2–3 minutes on each side until golden brown. Remove and let rest before slicing into 12 portions.

Roll out puff pastry to 1/8-inch thickness and cut into 3-inch squares. Layer each square with a slice of prosciutto, mushroom duxelles, and seared beef. Brush the beef lightly with Dijon mustard and fold pastry around, sealing the edges.

Place assembled Wellingtons seam-side down on a parchment-lined baking sheet. Brush tops with beaten egg and cut slits for steam. Refrigerate for 10 minutes while preheating oven to 375°F (190°C).

Bake assembled Wellingtons for 12–15 minutes or until golden brown. Monitor towards the end to avoid over-baking.

In a blender, combine Gorgonzola cheese, heavy cream, and a splash of water. Blend until smooth and adjust seasoning. This sauce will complement the Wellingtons beautifully.

Once baked, let the Wellingtons rest. Top each with Gorgonzola sauce and garnish with fresh thyme before serving.