Defrost pastry sheets according to package directions.
Preheat oven to 400
Unfold each pastry sheet and cut into thirds along the lines of the folds. Lay one sausage link on pastry, roll the pastry around the sausage and cute pastry. Pinch to seal. Continue with the remainder of the sausage link.
Paint the pastry of each sausage roll with egg wash. Cut each one in half and place on baking sheet lined with parchment paper.
Bake at 400 until pastry is puffed and golden brown. Serve warm with mustard for dipping.