Heat the olive oil in a large skillet over medium heat. Add the garlic, onion, mushrooms, thyme, parsley, salt, and pepper and cook until the vegetables are softened, about 5 minutes. Add the brandy, if using, and cook for 1 minute more.
Remove the skillet from the heat and stir in the mustard. Set aside to cool slightly.
Cut the beef tenderloin into 4 equal pieces. Place each piece of beef between two pieces of plastic wrap and pound with a meat mallet or rolling pin until the beef is ½-inch thick.
Lay out the puff pastry sheet and cut into 4 equal pieces. Place a piece of beef in the center of each piece of pastry and top with a generous spoonful of the mushroom mixture. Fold the pastry up around the beef and mushroom mixture, sealing the edges with a little water.
Brush the tops of the Wellingtons with the beaten egg and place on a baking sheet. Bake for 20 minutes, until the pastry is golden brown.
Remove from the oven and let cool for 5 minutes before serving.
Interesting Facts
Beef Wellingtons are named after the Duke of Wellington, a British soldier who famously defeated Napoleon at the Battle of Waterloo in 1815.
The original dish was made with a thick beef steak wrapped in a pastry crust, but today it is usually made with beef tenderloin.
Beef Wellingtons are traditionally served with a Madeira sauce, a rich and creamy sauce made with mushrooms and Madeira wine.