Rinse and dry the mackerel. Rinse lemon and cut half into slices. Squeeze the rest of the lemon. Rinse and dry thyme and strip leaves from stems.
Sprinkle 3/4 of the thyme, a little salt and pepper into the belly cavities of the marels and push in the lemon slices. Clean the leeks, cut them into strips. Halve the olives. Clean the mushrooms, rinse them and cut them in half as well. Cut tomatoes into strips.
Heat fat in a frying pan and fry mushrooms briefly, turning. Add the leek and braise for 5 minutes with the lid closed. Season with salt and the remaining thyme. Add olives and tomatoes.
Spread vegetables evenly on large sheets of parchment paper and place one mackerel on each. Drizzle mackerel with juice of one lemon and wrap into packets. Place packets in an ovenproof dish and bake in a heated oven at 200 °C for 40 minutes.