Frying is an old method of processing food, especially fish. Mackerel is one of the most consumed fish worldwide because of its high nutritional value. Previously, only a study on the effects of deep frying of fried mackerel has been performed. However, no study has been conducted on the effects of different frying methods on the physiochemical and nutritional properties of chub mackerel. Therefore, in this study, we evaluated the physiochemical and nutritional characteristics of deep fried, vacuum fried, and air fried chub mackerel. Thawing methods were compared and the best method was selected. High frequency defrosting (HFD) was used to thaw frozen fillet mackerel before frying. Response surface methodology (RSM) was used to optimize the temperature and frying time of the three frying methods. The physiochemical and nutritional characteristics, including volatile basic nitrogen (VBN), thiobarbituric acid-reactive substances (TBARS), pH, overall acceptance, proximate, fatty acid, and amino acids of fried mackerel were investigated. The HFD exhibited the lowest number of drips with a short thawing time. The RSM showed that the optimum temperature and frying time for deep, vacuum, and air frying were 165 °C for 3 min, 95 °C for 7 min, and 160 °C for 15 min, respectively. Vacuum frying showed the lowest increase in VBN, TBARS, and pH, and significantly (p < 0.05) differed from the others. It also resulted in increased amino acid and preserved fatty acid content. These findings suggest that vacuum frying is the best frying method which has little oxidation and can maintain nutrition. The results of this study could be applied in the fisheries industry to produce the best fried mackerel and preserve its high nutritive value.