On a baking sheet, drizzle the butternut squash with olive oil, then season with salt and pepper. Toss to coat, then spread in an even layer. Roast for 20 minutes, stirring halfway, until the squash is tender and golden brown. Remove from the oven and set aside to cool.
On another baking sheet, spread out the kidney beans and chestnuts. Bake for 10 minutes, or until the excess moisture has released and the beans begin to crack down the middle. Remove from the oven and set aside to cool.
Prepare the duxelle (mushroom mixture): In a large pan over medium heat, melt the butter. Once the butter begins to foam, add the shallot, mushrooms, thyme, and salt. Stir to combine and cook for 10-15 minutes, or until the liquid evaporates from the mushrooms and they begin to turn golden brown. Transfer the duxelle to a bowl and set aside to cool.
Return the pan to the stove (no need to clean), and heat a drizzle of oil over medium heat. Add 2 cloves of minced garlic and the frozen spinach. Break the spinach up with a wooden spoon and sauté for 2 minutes, or until the garlic is toasted and the spinach is warmed through. Add the lemon juice, lemon zest, nutmeg, salt, and pepper. Transfer to a bowl and set aside to cool.
Return the same pan back to the stove over medium-high heat and add a drizzle of oil. When the oil is hot, add the onion, carrot, salt, and pepper. Sauté for 5 minutes, or until the vegetables are softened and beginning to turn golden brown. Add the remaining 2 cloves of garlic and the sage and sauté for 1 minute more, or until the garlic is just fragrant. Add the balsamic vinegar, Dijon mustard, and bread. Stir until the bread is well-coated, then remove from the heat and let cool slightly.
Transfer the bread mixture to a food processor. Add in the roasted kidney beans and chestnuts and vegetable stock. Pulse a few times, until just combined. (The mixture should be an even consistency but still have texture to it. It should stick together when pressed in your palm). Transfer the bread mixture to a large bowl. Gently stir in the roasted butternut squash and season with more salt and pepper to taste.
Increase the oven temperature to 425°F (220°C) and line a large baking sheet with parchment paper.
On a lightly floured surface, roll each piece of puff pastry into rectangle slightly smaller than the prepared baking sheet. Transfer 1 piece of the pastry to the baking sheet and set the other piece aside.
Assemble the Wellington: Spread the cooled duxelle lengthwise down the middle of the puff pastry on the baking sheet, creating a rectangle the size that you want your wellington to be. Make sure to leave about a 2-inch border at both ends of the pastry. (You will be removing all excess dough and using it for decorations.)
Next, arrange half of the bell peppers over the duxelle. Make sure they lay flat, only overlap on the edges, and completely cover the mushrooms.
Top the bell pepper layer with the roasted squash and bread mixture by using your hands to pack the mixture into a loaf, making sure it doesn’t go over the edges of the peppers.
Layer the remaining roasted peppers evenly over the bread mixture.
Top the peppers with the spinach mixture. (This will be a bit messy, but it’s okay, it’s part of the process!)
Gently roll the second piece of pastry over the spinach layer, creating a blanket over all of the vegetable layers. Press the pastry gently around the filling to create a log shape. Trim the pastry so that there is about a 1-inch (2.5 cm) border around the log.
Fold the bottom layer of the pastry over the top layer and seal the dough together with a decorative crimp. Cut decorative shapes from the dough scraps and arrange over the log. Using a paring knife, cut a few vents into your wellington to allow steam to escape. You can hide the vents along the edges of your decorations.
Generously brush the top and sides of the wellington with the beaten egg.
Bake for 30 minutes, or until the pastry is golden brown and crispy.
Let rest for 15 minutes before slicing and serving.