Step 1

Preheat oven to 450 degrees.

Step 2

Pat tenderloin dry and cut into 1-inch cubes. Cut each strip of bacon in half and wrap around the steak cubes. Secure with a toothpick. Season each side of the steak with salt and pepper.

Step 3

Spray a grill pan, or grill with cooking spray, and warm to medium high heat. Sear the steak cubes for a 1-2 minutes on each steak side. Place on a baking sheet with the bacon side lying down. Bake for 2-3 minutes, flip the steak bites over to the other bacon side, and bake for an additional 2-3 minutes, until cooked to your liking. Brush with Worcestershire sauce.

Step 4

Combine the greek yogurt and horseradish in a medium bowl. Season with salt and pepper to taste.