Seal off the lamb rumps by frying on high heat until well-browned on all sides – they will still be raw in the middle. Season and chill.
Unroll a pack of pastry and cut in half, width-wise. Put 1⁄4 of your mushroom mix on one of the pastry rectangles and spread out gently across the pastry, leaving 1 inch clear around all the edges. Brush those edges with the beaten egg to help it stick.
Place a 50g slice of blue cheese in the centre of each rectangle – it needs to be fairly flat, so squash it if needs be. Put a lamb rump on top of the cheese.
Now it’s time to make the parcel. Bring one of the longer sides up and fold over the lamb, then bring up the opposite side (there should be an overlap). Roll the Welly so that the top is now on the bottom and, with your fingers, gently press down along the join so the pastry sticks together. The sides can either be crimped together or folded over each other, but make sure you trim away excess pastry and get that egg wash over any surfaces that are coming into contact with each other. Worst case scenario, it’ll all go a bit flabby, but don’t despair – squeeze it together in your hands. The ideal Welly will have a consistent thickness of pastry all around, and any imperfections will be smoothed during cooking.
Repeat with the other 3 lamb rumps and the rest of the pastry. Then brush the egg wash over the Wellingtons and leave to chill. Meanwhile, preheat the oven to 190C/375F/gas mark 5.
Bake the Wellingtons for 20-25 mins for nicely pink lamb and golden brown pastry (if you have a thermometer, it should read around 65C). Remove from the oven and leave to rest for at least 5 minutes.
While they’re resting, warm a glug of olive oil in a frying pan, and gently heat the garlic and anchovies. Once the garlic is soft and the anchovies have broken up, toss in your broccoli and warm them together for 1-2 mins. Grate over the lemon zest.
To serve, divide the broccoli between four plates, and place a Welly on each. Leave whole to let your guests cut into them themselves.
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