Preheat your oven to 350-400°F. Line a baking sheet with parchment paper or aluminum foil, and spray it lightly with cooking spray.
Place the steelhead trout filet on the prepared baking sheet, ensuring the skin is facing down if applicable.
Season the filet with salt, pepper, garlic, and olive oil. Arrange lemon and orange slices on top of the fish for added flavor.
Bake the trout in the preheated oven. Cook for 12-18 minutes at 350°F or 15-22 minutes at 400°F, until the thickest part of the fish reaches an internal temperature of 145°F.
Once cooked, remove the fish from the oven and let it rest for a few minutes. Serve with a squeeze of fresh lemon juice, additional lemon wedges, and a sprinkle of capers if desired.