Preheat oven to 425 degrees F. Cut each turkey tenderloin in half. Wrap each piece with a slice of bacon; secure with wooden toothpicks. Sprinkle with cracked peppercorns and fresh thyme sprigs. Place on a shallow roasting pan. Roast about 30 minutes or until done (170 degrees F).
In a small bowl combine mayonnaise, honey, yellow mustard, lemon juice, and horseradish. Serve sauce with turkey.