Preheat oven to 350 degrees.
Lightly coat a baking dish with olive oil. In a large zipper-topped plastic bag, combine next 5 ingredients (Parmesan through black pepper); seal bag and shake well to combine.
In a shallow bowl, beat together egg and milk. Dip each fillet in egg mixture then transfer to the zipper-topped plastic bag; seal and shake well to coat, shaking off excess; place on prepared baking dish.
Repeat this process with remaining fillets. Bake for 20 to 25 minutes or until fish flakes easily when tested with a fork.