Grease a baking dish with butter or spray the bottom with cooking spray. Place the rockfish into the dish and add chopped vegetables like carrot, onion, celery or leeks. Bake for 40 minutes to one hour, until the flesh flakes away easily with a fork.ow to Cook Rockfish in the Oven. Rockfish are also known as red snapper. Photo Credit Thinkstock/Comstock/Getty Images. Rockfish, also known as rock cod, snapper or red snapper, is a fish that lives off the Pacific coast of Canada and the United States.