Cut each mackerel fillet into 5cm pieces, and make an incision in each piece.
Cut the sliced cheese to strips of 3cm x 1cm, then put 2 pieces of cheese into each mackerel fillet incision.
Crack 2 eggs into a bowl, add the horseradish, grated cheese, pepper, and mix.
Add the mackerel pieces to the egg mix, coat on both sides and leave to soak.
Heat 2-3 tablespoons of oil in a large frying pan and add the mackerel. Flip the mackerel fillets and brown on both sides.
Dip the cooked mackerel into the egg mix, coat evenly and fry again until all of the egg mix is gone.
Place the rocket on the centre of a plate and sprinkle with the diced tomato. Place the cooked mackerel pieces on top and serve.