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1
Preheat oven to 425F.
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2
Pat filets mignons dry and season with salt and pepper.
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3
In a shallow roasting pan roast filets in middle of oven 12 minutes, or until a meat thermometer registers 110F for rare, and cool (filets will be baked again after being wrapped in pastry).
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4
Chill filets, covered, until cold, about 1 hour.
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5
Thinly slice mushrooms and in a heavy skillet cook in butter with shallot, garlic, and salt and pepper to taste over moderate heat, stirring, until mushrooms are lightly browned.
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6
Transfer mushroom mixture to a bowl to cool completely.
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7
In a small bowl lightly beat egg to make an egg wash.
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8
On a lightly floured surface roll out puff pastry sheet into a 14-inch square.
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9
Trim edges to form a 13-inch square and cut square into four 61/2-inch squares.
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10
Put 1 tablespoon Gorgonzola in center of 1 square and top with one fourth mushroom mixture.
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11
Top mushroom mixture with a filet mignon, pressing it down gently, and wrap 2 opposite corners of puff pastry over filet, overlapping them.
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12
Seal seam with egg wash. Wrap remaining 2 corners of pastry over filet and seal in same manner.
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13
Seal any gaps with egg wash and press pastry around filet to enclose completely.
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14
Arrange beef Wellington, seam side down, in a non-stick baking pan.
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15
Make 3 more beef Wellingtons in same manner.
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16
Chill remaining egg wash for brushing on pastry just before baking.
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17
Chill beef Wellingtons, loosely covered, at least 1 hour and up to 1 day.
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18
Preheat oven to 425F.
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19
Brush top and sides of each beef Wellington with some remaining egg wash and bake 20 minutes, or until pastry is golden.
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20
In a saucepan boil demiglace and Madeira 1 minute and keep sauce warm.
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21
Serve beef Wellingtons with sauce.
