Preheat the grill to hot. Heat the oil in a pan and sauté the onion on a low heat for 10-12 minutes, stirring occasionally, until starting to soften. Add the prunes, balsamic vinegar and honey and continue to cook over a very low heat for about 15 minutes, stirring occasionally to prevent the prunes sticking to the pan.
Meanwhile, place the mackerel fillets on a grill pan and cook under the preheated grill for 4-5 minutes on each side – do not overcook. Divide the rocket or watercress between 4 plates and top each one with a mackerel fillet.
Spoon over the caramelised red onion and prunes and drizzle with the balsamic syrup. Serve immediately with some crusty bread to mop up the syrup, if liked.