Rub fillets with olive oil. Sprinkle with salt. Rub fillets with mustard. Season meat with a mixture of pepper, rosemary and thyme. Cover meat with plastic wrap and allow to sit at room temperature for 1 hour.
Heat oven to 425° or prepare a medium-hot grill. Roast or grill venison fillets to rare or medium-rare. For rare, pull meat when internal temperature is 115°–120°, about 15–20 minutes total cooking time. For medium-rare, pull meat when internal temperature is 120°–125°, about 20–25 minutes total cooking time.
Slice fillets across the grain into ¼-inch medallions and serve with the horseradish sauce.
To make the sauce, mix sour cream, mayonnaise, horseradish and mustard. Chill until ready to serve.