Trim base from fennel bulbs; cut bulbs into fourths, discarding fronds. Cut mushroom caps in half.
Brown tenderloins in 2 tablespoons hot oil in a large skillet over medium-high heat 4 to 5 minutes on each side.
Place pork in a shallow roasting pan; sprinkle with salt and 1 1/2 tablespoons pepper. Top with fennel and mushrooms; drizzle with remaining 2 tablespoons oil.
Bake at 475° for 35 to 40 minutes or until meat thermometer inserted into thickest portion registers 160°. Transfer to a serving platter.
Cook whipping cream, sherry, and remaining 1 1/2 tablespoons pepper in a saucepan over low heat, stirring mixture constantly, until thoroughly heated; serve over pork and vegetables.
Prep: 15 min., Bake: 40 min., Cook: 5 min.