Arrange the mackerel fillets skin side down on a baking sheet lined with oiled baking paper or foil.
Mix the rosemary, bacon, oats, walnuts and lemon rind together, season then spoon on top of the fish. Drizzle with the lemon juice and oil. Cover and chill until required.
Mix the horseradish and yogurt in a small bowl with a little seasoning, cover and chill until required.
When ready to serve, remove the cover and bake the mackerel in a preheated oven, 220°C (425°F), Gas Mark 7, for 10 minutes until the topping is crisp and golden and the fish flakes easily when pressed with a knife. Serve with salad and the horseradish sauce.