Preheat oven to 400°F.
Season steak generously with salt and pepper. Heat oil in a large skillet over medium-high heat and once shimmering, add steak. Sear, turning once, until the steak is well browned, about 3 minute per side. Transfer skillet to the preheated oven and finish cooking the steak to medium doneness, about 5 minutes more.
Transfer the steak to a cutting board, tent with foil and let rest for 5 minutes.
Slice the rested steak against the grain and on the bias into strips 1/4-inch thick and 1-inch wide. Cut each strip crosswise into pieces 3 inches long. Lay strips on a work surface and top with blue cheese, pressing so the cheese sticks to the steak. Place a small watercress sprig at one end of the strip and roll up the strip, using the cheese to help hold the bite together. Place the bundle upright, so the watercress sprig is showing at the top, on a serving plate. Repeat with remaining ingredients and serve at room temperature.