Make the dressing by shaking the olive oil, white wine vinegar, mustard, sugar, dill and lemon juice together in a jam jar (or whisking in a jug).
Combine the onion, fennel, cucumber and capers together in a bowl, and toss with the dressing. Leave the coleslaw for about 20 minutes to infuse the flavours.
About 10 minutes before serving, heat a griddle pan to hot (or heat a barbecue until the coals are grey).
Brush both sides of each of the fish fillets with the olive oil and griddle for 5 minutes on each side until cooked through.
To serve, divide the coleslaw between plates and top with the griddled mackerel.
Cook's tip: As part of a balanced diet we should be eating at least 2 portions of fish a week (including one portion of oily fish) and mackerel is rich in omega-3 fatty acids.