Season pork with salt and pepper. Heat oil in a large non-stick frying pan over high heat. Add pork and cook, turning often, for 5 minutes or until browned. Transfer to a plate. Set aside to cool slightly. Cover with plastic wrap and refrigerate until cooled completely.
Preheat oven to 220°C/180°C fan forced. Heat butter in the pan over medium heat until melted. Add onion and cook, stirring often, for 4-5 minutes or until softening. Add garlic and mushrooms and cook, stirring often, for 5 minutes or until golden.
Add marsala to the pan and simmer for 5 minutes or until liquid has evaporated. Stir through thyme and season with salt and pepper. Set aside to cool completely. Once cooled, place on mushroom mixture onto a plate lined with paper towel to drain.
Defrost pastry on a clean bench. Place a sheet of puff pastry on a lightly flour dusted work surface. Use a rolling pin to gently roll out pastry to make it slightly larger. Lay 4 sheets of prosciutto on the pastry. Spread half of the mushroom mixture over prosciutto. Place a pork fillet 5cm from one side of the pastry, tucking in the prosciutto. Spread with half of the mustard. Tightly roll the pastry to enclose the pork. Fold in pastry ends. Place seam-side down on a large oven tray lined with baking paper. Repeat using remaining pastry, prosciutto, mushroom mixture, pork and mustard. Bake for 20-25 minutes or until the pastry is puffed and golden. Set aside for 5 minutes to rest.
While the pork is cooking, make the marsala sauce, heat butter in a small saucepan over medium heat. Add garlic and cook, stirring often, for 1 minute or until aromatic. Stir in cornflour mixture and marsala. Bring to the boil, stirring, then reduce heat and simmer for 5 minutes or until reduced by half. Add the stock and thyme and simmer for 10 minutes or until reduced and thick.
Serve pork wellingtons with marsala sauce and your choice of vegetables on the side.
