Slice the mushrooms into 1/4” thick slices. Place them in a large bowl and mix with the olive oil, soy sauce, garlic, smoked paprika, onion powder, Worcestershire sauce, and kosher salt.
Line a sheet pan with parchment paper and place the mushrooms in a single layer on top. Place it in the oven and roast for 15 minutes.
When ready to assemble, place baby arugula on the buns and place strips of mushrooms on top. Add white onion slices, pickles, and horseradish sauce, and top with the bun.