Salt and pepper the roast generously on both sides. Heat 2 tablespoons of olive oil in a large skillet over high heat. Brown/sear the beef on all sides in the hot skillet. Remove to a clean plate and cool completely.
While the roast is cooling, add half of the mushrooms to a food processor and pulse until they are very finely chopped. Remove the finely chopped mushrooms to a bowl and continue with the other half of the mushrooms.
Heat the butter and one tablespoon of oil in the skillet over medium-high heat. Once melted, add the shallots and cook until softened. Add the mushrooms to the pan and saute until they release all their moisture, about 10 minutes. Add the heavy cream and simmer until thickened for a few minutes. Turn off the heat and stir in the breadcrumbs and rosemary. Remove the mushrooms to a small bowl and chill in the refrigerator for at least 1 hour.
Once the meat has cooled, combine the Dijon mustard and horseradish in a small bowl. Snip off the butcher’s twine and discard. Spread the mustard and horseradish mixture all over the roast. Place in the refrigerator to chill for 1 hour.
When ready to bake, adjust a rack to the center of the oven and preheat oven to 400 degrees. Line a baking sheet with parchment paper.
Dust the work area lightly with flour. Roll out the puff pastry with a rolling pin so it is 3-4 inches longer than the tenderloin and 6-7 inches wider. Crack the egg into a small bowl and beat well. Brush the edge of the pastry with the beaten egg.
Spread and pat the mushroom mixture all over the top and sides of the roast. Lay the beef in the center of the pastry. Tuck the 2 ends of the pastry into the beef and then fold up the other sides. Place the beef seam-side down on the baking sheet. Brush all over with the egg wash. Cut 3 slits on the top of the roast and sprinkle lightly with flaky sea salt.
Roast until a thermometer inserted into the beef reads 120 degrees F, about 40 minutes. Remove from the oven and rest for 20 minutes before slicing into 1-inch-thick pieces. The temperature will rise to 125 degrees F as it rests. Enjoy!