Pat the filet mignon dry. Season each filet with ¾ teaspoon kosher salt and ¾ teaspoon black pepper, coating each filet evenly with salt and pepper.
Place a raised rack on top of a foil-lined baking sheet. Transfer to the refrigerator for at least 2 hours and up to 3 days.
Bake the filet mignon:
Remove the filets from the refrigerator 30 minutes before cooking them. Preheat the oven to 300ºF.
Transfer the baking sheet to the oven for 30 to 45 minutes. The exact timing will depend on the thickness of your steaks and your desired internal temperature. Begin to check the internal temperature with an instant-read thermometer after 30 minutes. I cooked my filets to 128ºF, and it took 46 minutes. See Note 1.
Remove the filets from the oven and rest for 10 minutes.
Cook the mushrooms:
Brown the mushrooms about 15 minutes before the filets finish baking. Transfer them to a large skillet and turn the heat to medium. The mushrooms will release water, which will evaporate in 4 to 5 minutes. Stir occasionally. Once the moisture evaporates from the skillet, add 2 teaspoons extra virgin olive oil. Sauté for 3 minutes until the mushrooms turn golden brown. Season with salt and pepper.
Add the garlic, shallot, and thyme to the mushrooms. Sauté for 4 to 5 minutes, stirring often until the shallot softens. Be careful not to burn the garlic. Add a pinch of salt and pepper and transfer the mushrooms to a bowl. Wipe out the skillet.
Brown the filets:
Heat 1 tablespoon neutral oil in the skillet over medium-high heat. Once the oil is very hot, add the filets and cook without moving for 2 minutes. Flip and add the butter. Base the tops of the filets for 1 to 2 minutes until the other side is evenly browned. Transfer to a cutting board and tent loosely with foil. Blot out any excess butter from the skillet.
Prepare the wine sauce:
Return the skillet to medium heat. Add the mushrooms and cook for 30 seconds. Add the flour and stir to coat. Cook for 1 minute.
Add the red wine and bring to a boil. Whisk the wine into the flour until a slurry forms. Cook for 1 minute. Add the beef stock and bring to a boil. Reduce the heat to low and simmer for 5 minutes, stirring occasionally, until the sauce thickens. Taste and add salt and pepper. Turn off the heat.
To serve:
Spoon the wine sauce onto a serving platter and place both filets mignon on top. Sprinkle fresh thyme leaves over the steaks. Serve with mashed potatoes. Enjoy!
Notes
Note 1: Medium-rare is my go-to temperature for filet mignon and any steak. If I want the steaks to be a bit rare, I’ll bake them until they reach 127ºF or 128ºF. Generally, I like to pull the steaks from the oven at 130ºF for a nice edge-to-edge pink, which usually makes for a crowd-pleasing temperature. Below is the steak temperature guide that you can use for reference.