In a large frying pan over a medium heat, toast the fennel seeds for 1 minute. Lightly crush with the back of a knife on a board.
Brush the mackerel with the oil and scatter over the fennel seeds. Return the pan to the heat and cook the mackerel, skin-side down, for 3 minutes, turn and cook the other side for 2 minutes until cooked through. Remove the skin and discard.
Toss together the onion, tomatoes, cucumber, yellow pepper and lettuce in a bowl and scatter over the olives, cheese and oregano. Divide between plates, then top each with a mackerel fillet. Serve with the lemon wedges and bread.