Preheat oven to 375°F (190°C). Line a baking sheet with parchment paper.
Marinate fish fillets with olive oil, lemon zest, lemon juice, salt, and pepper. Set aside for 15 minutes.
Blanch asparagus in boiling salted water for 2 minutes, then shock in ice water. Pat dry.
Lay out filo sheets, brushing each with olive oil. Stack 2-3 sheets. Place marinated fish on top, add asparagus and sprinkle with dill.
Fold filo around fish and asparagus to form a parcel. Brush top with more olive oil.
Bake for 25–30 minutes or until filo is crisp and golden. Let cool slightly, cut on the diagonal, and serve with fresh dill and lemon zest.
Notes
Assemble parcels ahead of time and refrigerate until ready to bake. This recipe works with cod, halibut, hake, or sea bass. Serve with a bright seasonal salad for a full meal.