Preheat the oven to 400° F. Place margarine in a 13×9-inch baking pan, and put in the oven to melt while oven is heating. Remove pan from the oven.
Mix Parmesan cheese, cornmeal, flour, pepper and paprika in a plastic bag. Add catfish fillets, one at a time, and shake to coat with the Parmesan mixture. Arrange fillets in a single layer in the prepared pan, turning once to coat with margarine. Sprinkle remaining cheese mixture over fish.
Bake for 10 to 15 minutes or until golden brown and fish flakes easily when tested with a fork.