Season Venison with salt and pepper. Heat olive oil in a skillet over medium-high heat and sear venison on all sides until browned. Let cool completely.
Prepare Duxelles: Melt butter in a skillet over medium heat. Add shallot and garlic and cook until softened. Add mushrooms and cook until all liquid has evaporated. Deglaze with Madeira wine and cook until absorbed. Stir in thyme and parsley and season with salt and pepper. Let cool completely.
Prepare Red Currant Sauce: Combine all Red Currant Sauce ingredients in a saucepan and simmer over low heat for 15 minutes, stirring occasionally, until slightly thickened.
Assemble Wellington: Roll out puff pastry to a large rectangle. Spread duxelles evenly over the pastry. Place venison on top of duxelles. Wrap pastry tightly around venison, sealing edges with egg wash. Brush entire Wellington with egg wash.
Bake at 400°F (200°C) for 35-45 minutes, or until pastry is golden brown and venison reaches an internal temperature of 135°F (57°C) for medium-rare.
Let rest for 10 minutes before slicing and serving with Red Currant Sauce.
