"Holy mackerel!" is an exclamation used to express surprise, astonishment, or excitement. It's a milder and more polite alternative to other exclamations that might be considered offensive. It's also suggested that "Holy Mackerel" is a euphemistic way of saying "Holy Mary" or "Holy Mother of God" ,which is why words beginning with M feature commonly in these expressions.
HOLY MACKEREL is surely another instance of taking the first sound of an unacceptable expletive and turning it into something more innocuous. For example 'God' becomes gosh or goodness, 'Christ' crikey or crumbs while 'Jesus' has produced many alternatives ranging from gee to jumping Jehosophat. Holy mackerel replaces the well known 'Holy Moses.'
Another google search lead to the following, but thanks for making me smile: holy mackerel - exclamation of surprise - A blasphemous oath from the same 'family' as goddam and darn it, etc. Holy Mackerel dates back at least 200 years and is one of very many blasphemous oaths with the Holy prefix. Holy Mackerel was almost certainly a reference to Catholics eating fish on Fridays (rather like Holy Cow is a reference to Hindus, and Holy Smoke is a jibe at incense burning and funeral pyres; also Holy Moses - shortened to the rhyming Holy Moley or Holy Moly - the way that the words trip of the tongue is very significant in how these expressions become widely used and adopted, and Holy Mackerel does have a certain ring to it, in a way that Holy Skate, or Holy Cod do not... ). As well as being a popularly eaten fish of the times (affordable by Catholics on limited budgets - the insulting term 'mackerel snatchers' was also used for Catholics in the 19th century), the word Mackerel has historically been a strong fish symbol and fish stereotype (the French word maquereau is slang for 'pimp', due to its habit supposedly of leading other fish to their mates).
