Make 3 diagonal slashes across each mackerel fillet on the skin side and season well with salt and pepper. Cut the lemons in half, then squeeze the juice over the fish.
Lay on a grill rack, skin-side up, and cook under a preheated grill for 6–8 minutes or until the skin is lightly charred and the flesh is just cooked through.
Meanwhile, to make the salsa, mix together the avocados and lime juice and rind, then add the onion, cucumber and coriander. Toss well to mix and season to taste with salt and pepper.
Serve the mackerel hot with the avocado salsa and lemon wedges for squeezing over.