Pre-heat the oven to 200°C.
Spray the frying pan with low calorie cooking spray and heat over a high heat. Season the steaks with salt and pepper and add to the pan.
Sear the steaks for a minute on each side, making sure to sear the sides as well. Once the outsides are browned set aside on a plate to rest and cool.
Turn the heat down to medium and add the shallots and garlic to the frying pan. Cook for 5 minutes until they start to soften.
Add the finely chopped mushrooms, mustard and thyme to the pan with the shallots and season with a little more salt and pepper. Cook for another 5 minutes, or until some of the moisture from the mushrooms has been cooked off. You don't want this mixture to be too wet! Once cooked, set aside to cool.
Cut your pastry into 4 squares. On two of the squares, spoon some of the mushroom mix, leaving a 1cm gap around the edge.
Place the steaks on top of the two squares with the mushroom mixture. Baste the 1cm gap with some of the beaten egg.
Spoon more of the mushroom mix onto the tops of the steaks. Then drape the remaining squares of pastry over each, cutting off any excess and using a fork to crimp the edges.
Take a baking tray lined with foil and spray well with low calorie cooking spray. Place the wellingtons on top and baste the tops of the pastry with the remaining beaten egg. Chill for a minimum of 15 minutes in the fridge.
Once chilled place into the centre of the oven. Cook for 20 minutes for medium rare, or 25 for medium. The pastry should be golden brown.
Remove from the oven. Using a very sharp knife slice the wellingtons in half and serve.