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Heat the olive oil in a frying pan over a medium heat and fry the onion for 8-10 mins until soft and translucent. Add the mushrooms and herbs, and continue to cook for 8-10 mins more until any water from the mushrooms has evaporated.
Tip half of the lentils into a food processor along with the onion and mushrooms, the breadcrumbs, cheese, most of the egg, the nuts and a generous grating of nutmeg. Season well, then pulse to a coarse rubble – you want a little texture, so be careful not to over-blend. Add the remaining lentils and gently pulse again.
Unroll the puff pastry sheet and cut it in half down the centre, along its length. Spoon the nut roast mixture down the centre of each pastry rectangle. Brush a little of the remaining beaten egg over one exposed edge of each rectangle, then fold the pastry over to enclose the filling, pressing the edges together to seal. Brush the tops of the rectangles with the rest of the beaten egg, then cut into 4cm rolls down the length.
Arrange the rolls over two baking trays lined with baking parchment. Chill for at least 30 mins. Will keep frozen for up to three months. Heat the oven to 180C/160C fan/gas 4. Bake the rolls for 20 mins from chilled or 30 mins from frozen. Can be served warm or cold.