Preheat oven to 425° F.
Season each fillet with salt and pepper.
In a small bowl, whisk together milk and egg. In another small bowl, stir together remaining ingredients.
Dip seasoned catfish fillet into egg mixture, then coconut mixture. Place on a sheet tray. Repeat with remaining fillets.
Bake for 15 minutes. Remove from oven, and serve with lime wedges.