How to Cook Mahi Mahi Mahi mahi is a large, colorful fish. It is caught mainly in warmer waters, Caribbean, South East Asia and the West coast of North and South America amongs others. It has been commonly called the dolphin fish, but it is absolutely not related to the dolphin. It is a white fish and is commonly used like swordfish, tuna, marlin and similar. Cooking mahi mahi is just like any other firm white fish.