Step 1: Set up your smoker according to the manufacturer’s instructions and preheat to 300 degrees.
Step 2: Place the tenderloin on a rimmed baking sheet and season very generously on all sides with salt and pepper. Drizzle the tenderloin on all sides with olive oil, rubbing it into the meat. Place the tenderloin (without the baking sheet) in the smoker and add the wood as specified by the manufacturer.
Step 3: Smoke the tenderloin for 45 minutes, or until the internal temperature is about 125 degrees.
Step 4: Transfer the tenderloin to a cutting board and let it rest for 10 minutes. (Loosely drape a sheet of foil over it to keep it warm. Do not bunch the foil around the meat or the crust will get soggy.) Thinly slice the tenderloin crosswise and take time to admire the smoke ring before you serve it. This just may be the best beef tenderloin you’ll ever taste.
Alternatively, if you want to use the reverse-sear method on the tenderloin, set up your grill or smoker for direct grilling and heat to high after smoking to an internal temperature of 110 degrees. Brush and oil the grill grate. Transfer the tenderloin to the grill. Direct grill, turning with tongs as needed, until the outside is darkly browned and sizzling and the internal temperature in the thickest part of the tenderloin reaches 120 to 125 degrees (rare) or 130 degrees (medium-rare).