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Preheat the oven to 350°F.
Place the mackerel fillets on a baking sheet and season with salt and pepper.
Arrange the cucumber slices on top of the mackerel and sprinkle with the chopped dill.
Drizzle the olive oil and lemon juice over the top.
Bake in the preheated oven for 15-20 minutes, or until the fish is cooked through and the cucumber is tender.