Preheat oven to 375 degrees F (220 degrees C).
Dust the puff pastry and the working surface as needed with a little flour, using a rolling pin, gently roll out the puff pastry to stretch it thinner. (doesn't have to be rolled incredibly thin just thin out the sheet, a couple times side to side and top to bottom)
In a bowl mix the chopped chicken, spinach, sun dried tomatoes, salt and pepper.
Place the chicken mixture into the center of the puff pastry sheet. Fold the puff pastry over the filling. Make sure the filling is nicely condensed. Fold in the ends and roll up tightly. (It should be about the roundness of a cucumber or a little bigger)
Place it seam side down on a parchment paper lined baking sheet. Brush the top and sides with oil.
Bake for about 25 - 35 minutes until the internal temperature reaches 160 degrees using a thermometer and the puff pastry is golden brown. Once done, remove from the oven and set aside for 3 - 5 minutes before slicing into portions.
For the gravy: In a saute pan over medium heat melt the butter and stir in the flour, cook for 1 minute. Stir in the milk, broth, and dijon; simmer until the sauce thickens and becomes very creamy. Remove from the heat and whisk in the parmesan. Season with salt and pepper to taste.
Slice the wellington and serve with the sauce. Garnish with thyme sprigs, serve with bread.