Pull the beef tenderloin out of the fridge, and bring it to room temperature.
If your butcher didn't do it already, go ahead and use a sharp, thin knife to trim both the excess fat (one side of the beef tenderloin will have quite a bit of fat that can be cut off and then ground for hamburgers or chopped into stew meat) and the silver skin from the tenderloin.
Fold the narrow ends of the tenderloin toward the middle and use butcher's twine to tie the beef so that it's more uniform in size.
Preheat the oven to 425°F. Heat a skillet over high heat. Once hot, sear the beef tenderloin for 5-6 minutes, until a golden brown crust forms, then flip it and sear for another 5-6 minutes.
While the tenderloin is searing, combine the softened butter, garlic, lemon zest, fresh rosemary, and fresh thyme in a bowl.
Top the seared beef tenderloin with the homemade herb butter, then transfer the skillet to the oven for 20-25 minutes, until your preferred internal temperature is reached. *See Note 3
While the tenderloin is in the oven, add the sour cream, grated horseradish, salt, and pepper to a bowl and mix with a fork or whisk until combined.
Let the beef roast rest for 10-15 minutes. Then, slice the beef tenderloin and serve it alongside the creamy horseradish sauce.