Move oven rack to position slightly above middle of oven. Heat oven to 500°F.
Cut fish fillets crosswise into 2-inch-wide pieces. In shallow dish, mix cracker crumbs, lemon peel, salt and pepper. Place milk in another shallow dish.
Dip fish into milk, then coat with cracker mixture. Place in ungreased 13x9-inch pan. Drizzle oil over fish; sprinkle with pecans.
Bake about 10 minutes or until fish flakes easily with fork.