Combine first 5 ingredients. Cover and chill at least 1 hour.
Preheat oven to 500°.
Trim fat from tenderloin. Place tenderloin on a rack in a roasting pan coated with cooking spray; sprinkle lemon-herb seasoning over tenderloin. Insert a meat thermometer into thickest part of tenderloin, if desired. Bake at 500° for 35 minutes or until thermometer registers 145° (medium-rare) or 160° (medium). Let stand 10 minutes before slicing. Serve with horseradish sauce.