Wash the beetroot well. Wrap the beetroot in a foil parcel with the garlic, thyme, salt and pepper to taste and oil. Place in a preheated oven, 180°C (350°F), Gas Mark 4, for around 1 hour until the beetroot is cooked and a knife can easily be inserted into the centre. Once cool enough to handle, peel the beetroot. Cut into bitesized pieces, drizzle with a little oil and season with salt and pepper. Set aside.
Mix together all the horseradish cream ingredients, if using, and season with salt and pepper.
Place the fish on a nonstick baking sheet, skin-side up. Brush the skin with the oil and season with salt and pepper. Cook under a preheated grill on this side until the skin is crispy, about 3 minutes, then carefully turn over and cook for a further 2 minutes on the other side.
Serve the mackerel with the roasted beetroot and horseradish cream, if using.