Preheat your oven to 400°F (200°C).
In a mixing bowl, combine ground beef, breadcrumbs, chopped onion, minced garlic, egg, Worcestershire sauce, salt, and pepper. Mix until just combined.
Shape the mixture into 16 meatballs (about 1.5 inches in diameter).
Place the meatballs on a baking sheet and bake in the preheated oven for 15-20 minutes, or until cooked through (internal temperature of 160°F).
While the meatballs are baking, prepare the mushroom gravy. In a large skillet over medium heat, melt the butter.
Add the sliced mushrooms and sauté until browned, about 5-7 minutes.
Sprinkle flour over the mushrooms and stir to incorporate, cooking for an additional 1-2 minutes.
Gradually whisk in beef broth, ensuring no lumps form. Add Worcestershire sauce and thyme, then bring to a simmer.
Season the gravy with salt and pepper as needed. Allow to thicken for about 5 minutes.
Once the meatballs are done, add them to the skillet with the gravy and gently toss to coat.
Serve hot with your choice of sides, such as mashed potatoes or steamed vegetables.