In a large bowl, gently combine the ground beef, egg, breadcrumbs, Worcestershire sauce, salt, black pepper, garlic powder, onion powder, and paprika. Do not overmix.
Divide the mixture into 8 equal portions, roll into balls, and flatten into small patties.
Heat the olive oil in a large skillet over medium heat. Brown the patties for 3–4 minutes per side, working in batches if necessary. Transfer to a plate and cover loosely with foil.
Drain excess fat if needed. Add the sliced onion and mushrooms to the skillet and sauté for about 4 minutes, until softened.
Add the minced garlic and cook for 30 seconds. Pour in the sherry and scrape up the browned bits from the bottom of the skillet.
Add the beef broth and stir. Whisk the cornstarch and cold water together, then whisk the slurry into the gravy.
Bring to a boil, reduce the heat, and simmer for 5 minutes. Return the hamburger steaks to the skillet.
Cover and simmer gently for 10–15 minutes, until the patties are cooked through and the gravy has thickened.