This expensive, boneless cut of beef comes from the small end of the tenderloin. A small cut of beef taken from the end of the fillet, considered by many to be the most elegant steak of all. It is very tender and sweet, but lacks the flavor of a steak with bone in. The filet mignon is usually 1 to 2 inches thick and 1½ to 3 inches in diameter. It's extremely tender but lacks the flavor of beef with the bone attached. Cook filet mignon quickly by broiling, grilling or sautéing.