Heat oven to 425° F. Combine the sour cream, horseradish, parsley, and 1/4 teaspoon each salt and pepper in a small bowl.
Toss the broccolini, shallots, 3 tablespoons of the oil, and 1/4 teaspoon each salt and pepper on a rimmed baking sheet. Roast, tossing once, until browned and tender, 8 to 10 minutes.
Meanwhile, heat the remaining tablespoon of oil in a large skillet over medium-high heat. Season the steak with 1/4 teaspoon each salt and pepper. Cook, in batches, until an instant-read thermometer inserted into the thickest piece registers 130° F, 2 to 5 minutes per side for medium-rare. Let rest for 5 minutes before slicing against the grain.
Serve the steak with the roasted vegetables and horseradish sauce.
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