Simply seasoned and wrapped in bacon, this Pellet Grill Filet Mignon is so buttery tender, you can practically cut it with a fork. It’s slow cooked in SMOKE mode over apple wood, shifted into SEAR mode for a quick reverse sear and finished with blue cheese butter.About the cut: Filet mignon are cut from the tenderloin which runs along both sides of the spine. The tenderloin is the most tender cut of beef and arguably the most desirable and the most expensive. Because the muscle is not weight-bearing, it contains less connective tissue, which makes it naturally tender.We cooked our filet on the Rider DLX Pellet Grill, but you can make this very special meal on your smoker or grill too.