Cut catfish crosswise into 1-inch (2.5 cm) wide strips; sprinkle with salt and pepper. Sprinkle cornmeal in shallow dish; press fish into cornmeal, turning to coat.
Brush oil over rimmed baking sheet; heat in 450°F (230°C) oven for 5 minutes. Arrange catfish on prepared sheet; bake, turning once, until golden and fish flakes easily when tested, about 10 minutes.
Cajun Mayonnaise: Meanwhile, in bowl, stir together mayonnaise, onion, lemon juice and Cajun seasoning. Serve with fish.