Preheat oven to 425 degrees F (220 degrees C). Set out the Puff Pastry (2), so it can thaw out.
Mix Breadcrumbs (1 cup) and Milk (1/4 cup) in a large bowl. Let stand for a couple of minutes so the Breadcrumbs can absorb the moisture.
In a bowl, place the Beef Sausage (6 piece), Bacon (3 piece), bacon, Onion (1), Cheddar Cheese (1 cup), Fresh Thyme (1 teaspoon), and Salt and Pepper (to taste). Mix everything together to combine.
Cut the puff pastry sheets into four even sheets. Get a quarter of the meat and make it into a sausage shape. Roll it up to enclose it and make sure seam is in the bottom.
Cut each roll into four even pieces.
Transfer sausage rolls into a baking sheet lined with baking paper. Beat an Egg (1) and brush the top of each roll with it.
Bake for 20 minutes in preheated oven. Cool for a few minutes on the tray before serving.