Mushroom Duxelles
Cut the mushrooms into chunks. Put into a food processor and pulse, scraping down the sides as necessary until the mushrooms are very finely chopped.
Heat a film of grapeseed oil in a non-stick pan over medium-high heat. Once the oil is hot, add the shallots, reduce the heat to medium and sprinkle with a pinch of salt. Stir for about 1 minute and add the mushrooms, stirring to combine with the shallots.
Add the Madeira, 2 teaspoons of salt and the black pepper. Spread the mushrooms into an even layer and continue to cook, stirring from time to time. After 10 minutes add the butter and cook for about 15 to 18 more minutes, until the moisture has evaporated, and the mushroom are beginning to take on color. Spread on a plate and refrigerate until cold.
Filet Wellingtons
Using a paper towel, pat any excess moisture from the meat and season generously with salt; refrigerate uncovered for 45 minutes.
Line a baking sheet with parchment paper.
Cut a large piece of plastic wrap. Spread 1/2 the cold mushroom duxelles in the center into a large enough circle to enclose the filet. Place a filet on the center of the mushrooms and bring up the sides of the plastic wrap, twisting it to encase the filet with the mushrooms. Repeat with second filet.
Roll a puff pastry sheet to 1/8-inch thick. Place a filet in the center, smoother side facing down. You will be folding in two of the sides to meet in the center. Fold them in to see how much pastry can be trimmed away. Trim excess pastry and then fold in the 2 sides to overlap. Press to seal well.
Trim the remaining pastry close to the filet but leaving enough to tuck under the filet. As you tuck the pastry under the Wellington, brush with egg yolk to act as “glue” to seal the pastry.
Place the Wellingtons, seam side down on the baking sheet. Brush the top and sides with the egg yolk. Dough trimmings can be cut to garnish the top of the dough. Once the trimmings are on the Wellington, brush them with egg yolk as well.
Refrigerate uncovered for 30 minutes to 1 hour.
Preheat the oven to 400˚F.
Place the baking sheet into the oven and cook until the puff pastry is richly browned, and the internal temperature is about 125˚F. Remove from the oven and rest for 15 minutes before serving.
