Start with the Mushroom duxelle. Chop mushrooms and chestnuts finely or add to a food processor to finely chop.
Heat a skillet over medium heat and add butter and chopped shallots and saute until softened, about 2 minutes.
Add mushroom mixture and thyme and saute until mushrooms darken in color and liquid has evaporated. Season with salt and pepper and pour in sherry. Continue sauteing until alcohol cooks off, for another 1-2 minutes.
Taste for seasoning and once done, remove and set aside to cool.
Pat the beef filets well with paper towels to blot excess moisture and season with salt and pepper. Bring skillet up to medium-high heat and add olive oil. Sear the beef filet for 1-2 minutes per side until there is a good crust. Don't cook the filet too much since it will be cooking in the oven as well. Set aside and cool to room temperature.
Defrost the frozen puff pastry and thaw by either placing it in the refrigerator or at room temperature for an hour.
On a lightly floured surface, roll out the pastry until it's ⅛th of an inch thin and cut into quarters. Each of the puff pastry squares will be what you wrap the filet in.
Spread 1 tablespoon of paté in the center of the pastry, then ¼ cup of mushroom duxelle and filet on top. Brush a layer of Dijon mustard onto the steak.
To wrap the individual beef wellingtons, bring up the sides of the puff pastry and wrap into a tight package. Turn over and if you have leftover dough, you can cut out a little shape to place on top. Or just use a paring knife and lightly score the top of the pastry for an easy design.
Brush with egg wash, season with coarse salt and place on a parchment lined baking sheet.
Bake individual beef wellingtons for 25-30 minutes, or until desired internal temperature is reached and the pastry is golden brown.