Grate the rind and squeeze the juice from one of the oranges. Cut long strips from the second orange with a zester and reserve for the garnish then peel the orange and chop the flesh. Cut the third into segments and reserve for the garnish.
Melt the margarine or butter in a saucepan, add the onion and celery and fry over a moderate heat for 3 minutes, stirring once or twice.
Remove the pan from the heat and stir in the rice, rosemary, orange rind, chopped orange flesh, half of the juice and the walnuts and season with salt and pepper.
Fill the mackerel fillets with the stuffing and roll up. Put the leftover stuffing on a baking sheet with the mackerel rolls on top. Cover with foil and bake in a preheated oven, 190°C (375°F), Gas Mark 5, for 25-30 minutes.
Serve the mackerel with the orange segments and strips of orange rind. A green salad with a sharp lemon dressing makes a good accompaniment.