Fresh anchovies are nothing like the jarred anchovies you probably have in your pantry. Similar to mackerel, these omega 3-packed fish are meaty and made for grilling. Grilling anchovies is one of our favorite preparations for these small, oily fish, and if you’ve ever wondered how to grill anchovies, you’ve come to the right place. The char of the grill crisps up the skin and compliments the rich flesh. Don’t forget the lemon!