Preheat grill or grill pan. Grill mackerel with the skin on.
Toss the cress and orange segments with a bit of olive oil, salt and pepper.
Place a small circle of cold fennel puree on each plate. Divide the salad onto the puree. Place the grilled fish over the salad. Heat the horchata gently and foam it with a hand blender. Spoon the foam onto the fish. Sprinkle the breadcrumbs on top.