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Preheat the oven to 350°F.
In a saute pan, heat the olive oli over low heat. Add the shallot and garlic and cook until they are translucent and soft. Set aside.
Remove the sausage meat from the casings and place it in a bowl, discarding the casings. Add the thyme, rosemary, salt, and pepper, as well as the shallot and garlic. Mix together well with your hands.
Remove the puff pastry from the fridge and place it on a floured surface. Cut it in half. Place half of the sausage mixture in a long row down the centre of each half. Brush the edges of the pastry with the beaten egg and then fold the pastry over the sausage and seal the edges. Seal the ends carefully as well.
Take a knife and make slashes halfway through the roll all the way down its length (you should end up with about eight segments). This will help the sausage meat cook all the way through the roll. Brush the pastry all over with egg and bake for 25 to 30 minutes, until the sausage is cooked and the pastry is fully puffed and golden.
Remove from the oven and cut the rolls all the way through the slashes, forming segments. Let cool a little before serving.