Preheat stovetop over medium-high heat and sear the beef fillets for about 2-3 minutes on each side until a rich brown crust forms.

Transfer the fillets to a plate and allow them to cool at room temperature.

In the same skillet, reduce heat to medium, add finely chopped shallots and mushrooms, sauté for 5-7 minutes until moisture has evaporated.

Roll out chilled puff pastry to about ¼ inch thick and cut into squares; place the duxelles and a beef fillet in the center.

Fold the pastry around the filling and seal the edges with little water.

Preheat oven to 400°F (200°C). Apply egg wash on top of the assembled Wellingtons.

Arrange on a baking sheet lined with parchment paper and bake for 25-30 minutes until golden brown.

Let them cool slightly before serving with creamy horseradish sauce.