Combine horseradish, oil, and mustard in a small bowl.
Rub tenderloin with salt and pepper; coat with the horseradish mixture. Tie with kitchen string in 3 places.
Transfer to a small roasting pan and roast until a thermometer inserted into the thickest part of the tenderloin registers 140°F for medium-rare, about 35–45 minutes.
Transfer to a cutting board and let rest for 5 minutes. Remove the string, slice, and serve with Creamy Horseradish Sauce.
Notes
Note: Ask your butcher to remove the extra fat, silver skin, and the chain. If buying untrimmed tenderloin, start with about 2 1/2 pounds to yield 2 pounds trimmed.Creamy Horseradish Sauce: Combine 1 1/4 cups reduced-fat sour cream, 1/3 cup prepared horseradish, 1 teaspoon kosher salt, and 1 teaspoon freshly ground pepper. Chill until ready to serve. Yield: 1 1/2 cups.