Make the egg wash: In a small bowl, whisk the egg with 1 teaspoon of milk until evenly combined. Set aside.
Using a rolling pin, roll out the puff pastry sheets and cut into rectangles, large enough to fit each piece of salmon in the center - there should be 3 inches around the edges from the salmon. Note: I used Pepperidge Farm's puff pastry brand, which comes with 2 sheets. I cut each sheet in half, so had 4 sheets in total.
Remove the portioned salmon filets from the fridge. Pat them dry thoroughly with paper towel. Season salmon with salt and pepper to taste. Tip: Patting dry the salmon thoroughly will prevent the puff pastry from getting soggy.
Place salmon filet onto the rolled out puff pastry sheet, in the center. Top with the cream cheese and spinach mixture evenly.
Brush all the borders with the prepared egg wash. This will act as the “glue” for the puff pastry. Fold over the long edges over the salmon, and lightly pinch to seal. Then brush the short ends with more egg wash, and fold them over to seal. Repeat with the remaining salmon filets.
Transfer the assembled salmon Wellington to the lined sheet pan, seam side down. Using a paring knife, cut slits on the puff pastry over the top, in a crosshatch pattern. Then, brush the top with more egg wash. Tip: Cutting slits over the top ensures there's proper ventilation for the steam to escape and prevents sogginess.
Bake for 20-23 minutes, until golden brown on top. Tip: Try not to open too much, as the puff pastry needs full heat to properly bake - this will also prevent the bottom from getting soggy.
Serve warm. Enjoy!