Preheat oven to 400 F.
Heat oil in a pan over medium heat and add shallots + garlic. Cook until translucent, then add mushrooms, red onions, salt, and pepper.
Combine mushrooms, boursin cheese, and egg yolks in a medium bowl. Stir until evenly incorporated, then set aside.
Season both sides of the steak with salt + pepper, then cut ¾ of the way through the steak. (If using sirloin, cut across the grain.)
Pack a spoonful of the mushroom mixture into each cut in the steak.
Heat canola oil in a pan over high heat and sear the steaks for about 30 seconds each, then bake for 10-15 minutes (depending on how you like your steak).
Serve!