Step 1

Cook bacon in a large skillet over medium, stirring occasionally, until browned and crisp, 6–8 minutes. Add shallots and cook, stirring often, until very soft, about 5 minutes. Add garlic and thyme and cook, stirring constantly, until fragrant, about 1 minute.

Step 2

Increase heat to medium-high. Add crimini and maitake mushrooms and cook, stirring often, until mushrooms release almost all of their liquid and look dry, 10–12 minutes. Stir in soy sauce, then season with salt and pepper. Transfer mushroom mixture to a medium bowl and chill until cold, about 30 minutes.

Step 3

Meanwhile, season tenderloin generously with salt and pepper. Heat oil in a large skillet over medium-high until very hot and you can see wisps of smoke. Cook tenderloin, turning every 30–60 seconds, until all sides and the ends are browned, about 4 minutes. Transfer meat to a plate and let cool 10 minutes.

Step 4

While the tenderloin is cooling, roll out puff pastry on a lightly floured surface with a long side closest to you to a 14x13" rectangle. Spread mushroom mixture over center of pastry to create a rectangle that is about as wide as your piece of meat, leaving a border of approximately 1" along top and bottom of pastry.

Step 5

Brush meat all over with mustard and place in center of pastry on top of mushroom mixture. Starting with the edge closest to you, roll up pastry, letting top and bottom edges overlap slightly (trim any excess); pinch edges together to seal. Turn beef Wellington seam side down, then twist ends to seal. Trim off any excess pastry on sides, but make sure meat is completely encased. Transfer to a rimmed baking sheet and chill until pastry is firm, about 1 hour.

Step 6

Place a rack in middle of oven; preheat to 425°. Lightly brush pastry all over with egg. Make several slits in pastry across the top of the beef Wellington (do not cut down into the meat below and keep the slits shorter than 1"; longer ones can really open up when baked).

Step 7

Bake beef Wellington until pastry is golden brown all over and an instant-read thermometer inserted into the center registers 115° for medium-rare (the temperature will climb as beef Wellington rests), 40–45 minutes. Transfer to a wire rack set inside a rimmed baking sheet and let rest 15 minutes.Do ahead: Beef Wellington can be formed 1 day ahead. Cover and keep chilled.

Step 8

While the beef Wellington is cooling, purée cilantro, parsley, anchovies, garlic, oil, lemon juice, and mustard in a blender or food processor until nearly smooth; season sauce with salt and pepper.

Step 9

Transfer beef Wellington to a platter and serve with sauce alongside for spooning over slices.