Heat oil in a large pan, add fillet and brown on all sides. Dry well on kitchen paper and leave to cool.
Filling: Melt the butter in a large saucepan and sauté onion over medium heat until soft. Add mushrooms, wine, Worcestershire sauce, rosemary and seasoning and stir until mushrooms are soft and all liquid has evaporated. Add flour and stir until mixture thickens. Leave to cool.
Roll pastry on a floured surface to a rectangle of 28 x 28 cm. Spread mushroom filling all over fillet. Wrap pastry around fillet, press edges to seal with water. Place seam side down on oiled oven tray. Keep pastry trimmings to cut out decorative shapes, such as leaves. Decorate and brush with egg wash. Bake in a preheated oven at 200°C for about 10 minutes. Reduce heat to 180°C and bake another 20 minutes or until pastry is golden brown. Serve any sauce with beef Wellington.