Preheat the oven: Set to 400°F (200°C). Line two baking sheets with parchment.
Start the Wellington filling: In a large skillet, heat olive oil over medium heat.
Sauté onion until translucent, 5–6 minutes. Add garlic and cook 1 minute.
Cook mushrooms: Stir in chopped mushrooms with a pinch of salt. Cook, stirring, until they release liquid and it evaporates, about 8–10 minutes.
You want the mixture quite dry.
Season and bind: Add lentils, walnuts, soy sauce, tomato paste, thyme, rosemary, smoked paprika, and nutmeg. Cook 2–3 minutes. Taste and season with salt and pepper.
Let cool to room temperature.
Assemble the Wellington: On a lightly floured surface, roll the puff pastry into a rectangle roughly 10x12 inches (25x30 cm). Spoon filling down the center, shaping into a log. Fold pastry over to enclose, seal edges, and place seam-side down on a parchment-lined sheet.
Score the top lightly and brush with dairy-free milk.
Roast the potatoes: Toss potatoes with olive oil, garlic, rosemary, salt, and pepper. Spread on the second sheet. Place both trays in the oven.
Bake the Wellington for 30–35 minutes until deep golden, and the potatoes for 35–40 minutes until crisp and tender. Rotate trays halfway.
Glaze the veg: While those bake, toss carrots and Brussels sprouts with olive oil, maple syrup, Dijon, salt, and pepper. After the Wellington is done, increase oven heat to 425°F (220°C).
Spread veg on the hot tray used for the Wellington and roast 15–18 minutes until caramelized.
Make the gravy: In a saucepan, heat oil or vegan butter over medium heat. Sauté onion until soft, 3–4 minutes. Add garlic for 30 seconds.
Stir in flour to make a roux and cook 1 minute. Gradually whisk in broth, then soy sauce, miso, thyme, and pepper. Simmer 5–7 minutes, whisking, until thick and silky.
Adjust seasoning.
Rest and slice: Let the Wellington rest 10 minutes before slicing. Serve with potatoes, glazed veg, and a generous pour of gravy.