Preheat the oven to 400°F (200°C). Lightly grease a medium casserole dish and set aside.
Pat the beef sirloin cubes dry with paper towels, then season evenly with the kosher salt and freshly ground black pepper.
Heat 1 tablespoon of olive oil in a large skillet over medium-high heat. Add half of the seasoned beef and sear for 2–3 minutes, turning occasionally, until browned on the outside but still pink inside. Transfer the seared beef to a plate and repeat with the remaining olive oil and beef. Set the browned beef aside.
Reduce the heat to medium and add the unsalted butter to the same skillet. When melted, add the finely chopped yellow onion and cook for 3–4 minutes, stirring often, until softened and lightly golden.
Stir in the minced garlic and cook for 30 seconds, just until fragrant, then add the finely chopped cremini mushrooms and fresh thyme leaves.
Cook the mushroom mixture for 6–8 minutes, stirring occasionally, until most of the moisture has evaporated and the mushrooms are deeply browned and concentrated in flavor.
Sprinkle the all-purpose flour over the mushroom mixture and stir well to coat, cooking for 1 minute to remove the raw flour taste.
Pour in the dry white wine, scraping up any browned bits from the bottom of the skillet. Simmer for 2–3 minutes until the wine is reduced by about half.
Add the beef broth and Dijon mustard, stirring until smooth. Simmer for another 2–3 minutes until slightly thickened, then reduce the heat to low and stir in the heavy cream.
Return the seared beef and any accumulated juices to the skillet, gently folding to coat the beef in the creamy mushroom mixture. Simmer on low for 2–3 minutes, just to warm through without overcooking the beef.
Transfer the beef and mushroom filling to the prepared casserole dish, spreading it into an even layer. Let it cool for about 10 minutes while you prepare the puff pastry.
On a lightly floured surface, gently roll out the thawed puff pastry sheet to roughly match the size of your casserole dish. Aim for a thickness of about 1/8 inch.
Lay the puff pastry over the cooled filling, tucking the edges slightly inside the dish or crimping them along the rim. Use a sharp knife to cut 3–4 small slits in the top to allow steam to escape.
In a small bowl, whisk together the egg and water to make an egg wash. Brush the top of the puff pastry evenly with the egg wash for a glossy, golden finish.
Place the casserole dish on a baking sheet to catch any drips, then bake in the preheated oven for 20–25 minutes, or until the puff pastry is puffed and deeply golden brown.
Remove the beef wellington casserole from the oven and let it rest for 5–10 minutes to allow the filling to settle slightly.
Sprinkle the chopped fresh parsley over the top of the pastry just before serving, then scoop generous portions, making sure each serving includes both the beef filling and a piece of crisp puff pastry.