Prepare the Duxelles. Add the mushrooms, shallots, garlic, and thyme to a food processor then pulse until finely chopped. Heat a large sauté pan over medium heat and melt the butter. Add the mushroom mixture, Marsala wine, salt and pepper to the pan and sauté until most of the liquid has evaporated (10-12 minutes). Set aside to cool.
Once cooled, use a cheesecloth or fine mesh strainer to drain the mushroom mixture of any remaining liquid. Separate mixture into 8 equal portions and set aside until ready to assemble.
Make the Beef Patties. In a large mixing bowl, beat the eggs, then add the tablespoon Dijon mustard, horseradish, Worcestershire sauce, salt, pepper, onion, garlic and stir to combine. Mix in the panko breadcrumbs, then add the ground beef and fold in the egg mixture until thoroughly combined. Using a half cup measure form into 8 equal size beef patties, which were 1.25 inches (3.1 cm) thick. (approximately 141 grams/5 ounces each patty)
Preheat the oven to 400°F.
Assemble the individual Wellingtons. Roll out one sheet of the puff pastry on a lightly floured surface to a 12-inch square, then cut into 4 (6-inch) squares.
Lay out 2 pieces of prosciutto onto each piece of puff pastry. Add one beef patty on top of the prosciutto of each of the four squares. Add one portion of the mushroom mixture on top of each beef patty and flatten out into an even layer. Flip the beef patty over so the mushroom mixture is sitting on the prosciutto. Fold over the prosciutto slices to completely wrap the beef patty then flip over, so the prosciutto ends are on the puff pastry.
Begin folding the puff pastry up and over the prosciutto wrapped patty as though wrapping a package. Using a pastry brush or your finger, dampen the puff pastry at each point the pastry folds over itself to securely seal all edges. Place the individual packages seam-side up on a parchment lined baking sheet that is large enough to hold all eight Wellingtons without touching.
Repeat with the second sheet of puff pastry and place finished packages on baking sheet.
Brush the egg wash over the tops and sides of each package. Pierce each Wellington with a sharp knife to create a half inch slit for ventilation and bake until the pastry is golden brown and an instant-read thermometer registers 160°F, about 40-45 minutes.
Remove from the oven, place on a cooling rack, and let rest for 5-10 minutes before serving.
While the Wellingtons bake, prepare Marsala Mushroom Sauce (recipe here) or your favourite beef gravy for serving alongside with your favourite vegetables.