Preheat oven to 400 degrees. Slice fennel into 1/2-inch wedges (reserve fronds), arrange on a rimmed baking sheet, and drizzle with 1 Tbsp. olive oil. Season with salt and pepper and roast, flipping fennel halfway through, until caramelized and golden, about 25 minutes. Let cool. Cut into 1/2-inch pieces. Transfer to a medium bowl.
Peel zest from lemon, avoiding white pith. Thinly slice zest on the bias. In a medium bowl combine zest with fennel, olives, 2 Tbsp. fresh lemon juice, and 1 Tbsp. olive oil. Set aside.
Butterfly mackerel by cutting lengthwise along belly of fish toward tail, then slicing along backbone (but not all the way through the fish). Gently open fish and arrange skin-side down on a parchment-lined baking sheet; flatten slightly. Drizzle with olive oil and season with salt and pepper. Bake until cooked through and flaky, 10 to 12 minutes. Transfer to a serving platter and top with fennel mixture. Garnish with chopped fennel fronds.