How to Cook Tilapia Fillets in the Oven. by Last Updated: Jan 20, 2014. How to Cook Tilapia Fillets in the Oven Photo Credit Jocelyn Vodnik/Demand Media. Tilapia is a low-cost lean protein, making it a satisfying, health-conscious entree choice. However, while fish is touted for health benefits from omega-3 fatty acids, tilapia is relatively low in them.