Turn on your air fryer and preheat it to 400°F.
Lay the bacon slices in a single layer in the air fryer basket. Cook them at 400°F for about 2-4 minutes until they're partially cooked but not yet crispy. Remove the bacon and place them on a paper towel.
Take two slices of your partially cooked bacon and wrap each slice of bacon around a steak. Secure each piece of bacon with toothpicks. Be sure to have even coverage around the sides of the steak.
Sprinkle black pepper and kosher salt evenly over the bacon-wrapped steaks and then lightly spray or brush the air fryer rack with olive oil.
Place the bacon-wrapped steaks onto the air fryer rack in a single layer. Close the air fryer and cook them for about 10 minutes.
After 10 minutes, carefully flip the steaks using tongs. Continue cooking the steaks for another 5 minutes or until they reach your desired level of doneness. Serve with a tablespoon of butter if desired.
Cooking Guide: Rare 120-125°F 8-10 minutes, Medium Rare 130-135°F 10-12 minutes, Medium 140-145°F 12-14 minutes, Medium Well 150-155°F 14-16 minutes, Well Done 160°F and above 16-18 minutes
Once cooked to your preferred doneness, remove the golden brown steaks from the air fryer and then let them rest on a cutting board for 5-10 minutes.
Remove the toothpicks from the filet mignon steaks and serve them hot. Enjoy your delicious bacon-wrapped filet mignon straight from the air fryer!