Preheat the oven to 180°C.
Pulse flour and butter in a food processor until it resembles breadcrumbs.
Pulse in egg and enough water to form a dough, then knead gently and chill.
Sear the steak in a pan with 15ml of olive oil for one minute per side.
Fry garlic and mushrooms in the same pan with remaining oil for 4 minutes.
Roll out the pastry into a thin oblong shape.
Layer ham, steak, mushroom mixture, and Gorgonzola onto the pastry.
Wrap the ham around the steak filling and fold the pastry over it.
Seal the pastry edges with beaten egg and trim any excess.
Brush with egg and bake on a tray for 15 minutes until golden.
Sauté shallot, garlic, and thyme in butter, then reduce with red wine.
Serve the Wellington sliced open with the sauce drizzled around.