Preheat oven to 450 degrees. Oil a large rimmed baking sheet.
Rinse fish well, pat dry with paper towels, and place on baking sheet. In the cavity of each fish, place 2 lemon slices, 1 sprig dill, 1/2 of the fennel, 2 sprigs parsley, and 1/2 of the reserved fennel fronds. Season the cavity and exterior of each fish with salt and pepper. Lay 3 slices lemon over the top of each fish. Drizzle oil lightly over fish and roast until cooked through, about 15 minutes.
Transfer fish to serving plates and serve with lemon wedges.