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Preheat the oven to 400°F and line a baking sheet with parchment paper.
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Split each biscuit in half horizontally. Spread a layer of horseradish sauce on each piece.
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On half of the biscuit layers, place a slice of provolone cheese followed by a portion of roast beef. Cover with the remaining biscuit layers and press the edges together to seal.
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Arrange the biscuits on the lined baking sheet and bake for 12-15 minutes, or until they turn golden brown.
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While the biscuits bake, prepare the Au Jus gravy according to the package instructions. Serve alongside the biscuits for dipping.