FOR THE MEAT:
Trim the venison tenderloin. Make sure there is no silver skin present. Bring the meat together so it's in a cylindrical shape and tie with butcher's twine in at least 4 different places. Drizzle with olive oil, then season with salt and pepper. In a hot, heavy skillet lightly coated with olive oil sear the meat all over, including the ends until browned. Do not overcook. Transfer to a plate and chill in fridge for at least 30 minutes.
FOR THE DUXELLES:
Melt the butter in the same pan over medium heat. Add mushrooms, shallots, and garlic. Cook until mushrooms are browned and moisture evaporates, about 10 minutes.
Deglaze the pan with Marsala and cream, scraping up any brown bits, and cook until liquid evaporates. Off heat stir in sage and season with salt and pepper. Let cool to room temperature.
Meanwhile tear a sheet of plastic wrap about 1 1/2 feet long. Shingle the prosciutto on the wrap so it forms a rectangle that's big enough to surround the entire tenderloin.
Using a rubber spatula spread the duxelles evenly over the prosciutto. Season with salt and pepper.
Remove the tenderloin from fridge and cut off twine. Keep the meat together in its log shape. Lightly smear Dijon mustard all over the venison. Place the venison lengthwise on one end of the duxelles covered prosciutto using the plastic wrap to roll it. Tuck in the ends of the porsciutto as you roll to completely encompass the venison. Roll it up tightly and twist the ends to seal it completely and to hold its log shape.
Set in refrigerator for 30 minutes.
Preheat ovento 425 F.
FOR THE PASTRY ROLL:
On a lightly floured surface, roll out the puff pastry to about 1/4-inch thickness.
Remove the venison from the fridge and cut off the plastic. Set the meat in the center of the pastry. Fold over the longer sides, brushing with egg wash and fold over to completely seal the venison. If you have extra dough you can use it as a decoration on top. We didn't have extra.
Place the venison seam side down on a parchment lined baking sheet.
Brush the top of the pastry with egg wash then make a couple of slits in the top of the pastry for venting allowing the steam to escape when cooking.
Bake for 40 to 45 minutes until pastry is golden brown and the venison registers 140 F. degrees on an instant-read-thermometer. Remove from oven and let rest for 10-15 minutes.
Serve thick slices with Marsala Sauce.
Melt 1 Tablespoon butter in a saucepan over medium-high heat. Add shallots and cook until beginning to brown, 3-5 minutes. Stir in garlic, tomato paste, bay leaf, and sage; cook until fragrant, 1 minute.
Deglaze pan with Marsala, scraping up any brown bits, and cook until reduces by half, about 5 minutes.
Whisk together broth and cornstarch and shisk into sauce; simmer until thick 5 minutes.
Strain sauce through a fine-mesh sieve;discard solids. Return sauce to pan and heat over medium-low; cook until reduced to 1 cup, about 5 minutes.
Whisk in remaining 2 Tablespoons butter, one tablespoon at a time, until emulsified. Stir in Worcestershire and season sauce with salt and pepper.