Preheat oven to 350°F/180°C.
In a 5-qt. sauté pan, heat the oil over medium heat. Lightly sear the beef cubes until they are nicely browned on all sides. Allow to cool.
Sauté the mushrooms, shallots and thyme for 3 - 4 minutes.
Deglaze the pan with the wine, reducing the liquid until almost dry.
Add the cream and reduce by half. Season the mushroom mixture with salt and pepper to taste and allow to cool.
Place a sheet of puff pastry on a floured work surface. Combine egg and water to create an egg wash.
Brush the egg wash over the puff pastry. Evenly space the beef cubes across the puff pastry. Top each beef cube with a small amount of the mushroom mixture.
Place the remaining sheet of puff pastry over the beef cubes and press to seal around each mound of beef.
Using a small very sharp knife, separate the beef wellingtons neatly and evenly.
Place on a parchment-lined nonstick jelly roll pan and bake until crisp for 12 - 15 minutes.