Preheat oven to 400 degrees. Melt butter in a large skillet over medium heat. Add shallot and thyme; cook until translucent, about 2 minutes. Add mushrooms; saute until they release liquid and are soft, 3 to 5 minutes. Season with a pinch of salt and pepper. Add Madeira, raise heat to high, and saute until liquid is cooked away, 3 to 5 minutes. Add gravy; cook until thick enough to coat the back of a spoon.
Meanwhile, slice turkey into about 1/4-inch-thick slices, and add to the gravy. Heat until turkey is hot, about 1 minute. Toast bread under the broiler on both sides until golden but still soft.
Place toast on serving plates, spoon 1 or 2 tablespoons gravy over toast, and scatter watercress on top. Arrange turkey over toast, and spoon mushrooms and gravy over meat. Serve warm.