Preheat oven to 190°C.
In a large sauté pan, heat the olive oil over medium heat. Add the mushrooms and season with salt and pepper. Cook for 10 minutes or until all the liquid has evaporated. Transfer the mushrooms into a bowl and add the parsley, zest and juice of the lemon, and cream cheese. Stir well to combine. Season to taste with salt and pepper.
Cut puff pastry into 6 x 16cm squares. Place on baking sheet. Pile the mushroom mixture into the middle of each pastry square.
Bring the pastry edges together, squeezing gently to form parcels. Brush with the beaten egg. Bake until puffed and golden, approximately 20 minutes.