Cooking frozen fish is safe, but the results don't always turn out quite as well as when you cook defrosted fillets. The exterior of frozen fish often overcooks before the inside fully thaws and cooks through, which is a particular concern with dry-heat methods like grilling or pan searing. Get around this problem when you're grilling frozen fillets by using the grill to steam the fish in a foil packet rather than laying the frozen fillet or steak directly on the grill. Partially cook the fish before you season it; your flavoring agents won't stick to icy pieces.
Preheat the grill to medium-high heat.
Remove the frozen fish from its packaging. Hold the fillet or steak under cold running water for just a few seconds to remove ice particles.
Lightly grease a sheet of foil with nonstick spray or cooking oil. The sheet should be about 4 inches longer than the cut of fish you're preparing.
Lay the fish on the center of the foil, skin-side down if the skin remains. Place a few slices of lemon, lime or orange over the fish, if you like. Fold up the longer sides of the foil, press the tops together, then fold them down a few times to create a loose tent over the fish. Fold the other sides closed, fully sealing the packet.
Put the packet on the grill, seam-side up. Cook a thinner piece of fish -- under 1 inch thick -- for about 8 minutes, or thicker cuts for up to 10 minutes.
Remove the fish from the grill and open the packet. Brush the fish with cooking oil or melted unsalted butter. Flavor it to taste with salt and pepper, along with any other desired herbs, spices, aromatics or liquids, such as: dill, rosemary, sage, basil, thyme, Cajun or blackening seasonings, curry powder, garlic, ginger, citrus zest, citrus juice, soy sauce or teriyaki sauce.
Seal the foil packet again and return the fish to the grill, seam-side down this time, to promote even cooking. Cook the fish for about another 8 to 10 minutes, just until the flesh is opaque all the way through.