Preheat the oven to 400 degrees F. Toss the shallots and garlic with 1 tablespoon of the olive oil to coat and wrap in aluminum foil. Roast until the shallots are soft and the garlic is golden, about 30 minutes. Cool and chop.
Heat a large cast iron skillet over medium-high heat. While pan is heating, coat the filets on all sides with 2 tablespoons Worcestershire sauce, 2 tablespoons canola oil, salt and pepper. Add the remaining 2 tablespoons canola oil to the pan and tilt to fully coat the bottom. Add the filets and cook until a crust forms on the bottom, 3 minutes. Flip and let cook on the other side for 4 more minutes. Transfer the skillet to the oven and cook until a meat thermometer inserted in the center of the filets reads 130 degrees F for medium-rare, 4 to 5 minutes.
Transfer the filets to a serving platter. Put the skillet over medium-low heat, add the remaining 1 tablespoon olive oil, the remaining 2 teaspoons Worcestershire sauce and the chopped shallots and garlic. Cook, stirring occasionally, until warmed through and coated with the liquid in the pan, 1 to 2 minutes. Spoon over the filets and serve.