Preheat the oven to 375°F (190°C).
In a large skillet, heat the olive oil over medium heat. Add the chopped onion and minced garlic, and sauté until translucent.
Add the chopped mushrooms to the skillet and cook until they release their moisture and start to brown. This should take about 8-10 minutes.
In a mixing bowl, combine the cooked lentils, sautéed mushrooms, breadcrumbs, dried thyme, dried rosemary, salt, and black pepper. Mix well until all the ingredients are evenly distributed.
Roll out the puff pastry sheet on a lightly floured surface to a rectangular shape.
Spoon the lentil and mushroom mixture onto the center of the puff pastry sheet and shape it into a log.
Carefully fold the puff pastry over the filling, sealing the edges and forming a neat log shape. Trim off any excess pastry if necessary.
Place the Wellington on a baking sheet lined with parchment paper, seam side down.
Brush the surface of the Wellington with soy milk, which will give it a golden color when baked.
Bake in the preheated oven for 30-35 minutes, or until the puff pastry is golden brown and crispy.
Remove from the oven and let it cool for a few minutes before slicing.
Serve the lentil and mushroom Wellington with your favorite sides and enjoy!