Preheat oven to 400°F (200°C) and line a baking sheet with parchment paper.
In a skillet over medium heat, sauté the chopped mushrooms in olive oil until browned.
Add baby spinach to the skillet and cook until wilted; season with salt and pepper, then let cool.
Season chicken breasts with salt, pepper, and Dijon mustard on both sides.
Roll out the thawed puff pastry on a floured surface.
Place the cooled mushroom and spinach mixture in the center of the pastry, then top with seasoned chicken breasts.
Fold the pastry edges over the chicken mixture and seal tightly.
Brush the wrapped Wellingtons with egg wash to achieve a golden finish.
Bake on the prepared baking sheet for 30 to 35 minutes until puff pastry is golden brown.
Meanwhile, prepare the sauce by combining heavy cream and chicken broth in a saucepan over medium heat.
Stir in Dijon mustard and fresh herbs; cook until sauce slightly thickens.
Slice the baked Wellingtons and drizzle with the Dijon cream sauce before serving.