Thaw the pastry sheets at room temperature for 40 minutes or until they're easy to handle. Line a baking sheet with parchment paper. Season the beef with the black pepper.
Heat the oil in a 12-inch skillet over medium-high heat. Add the beef and cook for 10 minutes, turning the beef over once during cooking. Remove the beef to a plate. Cover the plate and refrigerate for 1 hour or until the beef is cold.
Heat the butter in a 10-inch skillet over medium heat. Add the mushrooms, shallots and garlic. Season with the black pepper. Cook until the mushrooms are tender, stirring often. Remove the mushroom mixture from the skillet and let cool.
Unfold the pastry sheets on a lightly floured surface. Roll the pastry sheets into 2 (14-inch) squares. Trim the edges to form 2 (13-inch) squares. Cut each square into 4 squares, making 8 squares in all.
Place 1 tablespoon Gorgonzola in the center of each pastry square. Divide the mushroom mixture among the pastry squares. Top each with 1 filet mignon. Fold 2 opposite pastry corners over the beef, overlapping slightly, and press to seal. Brush with the egg. Repeat with the remaining pastry corners.
Place the Wellingtons seam-side down on the prepared baking sheet. Cover and refrigerate the Wellingtons and the remaining egg for 1 hour or overnight.
Heat the oven to 425 degrees F. Brush the Wellingtons with the remaining egg. Bake for 20 minutes or until the pastry is golden and the temperature of the beef is 117 degrees F. Serve immediately.