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Rinse halibut steaks under cold running water. Place in a shallow glass baking dish or resealable plastic bag large enough to hold the fish in a single layer.
Marinade: In a mixing bowl, combine orange juice, pineapple juice, rum, Jamaican Jerk Rub and brown sugar. Slowly whisk in vegetable oil.
Pour mixture evenly over fish, turning fish to coat both sides. Cover and refrigerate for 2 hours (no longer or the acids in the marinade will begin to "cook" the fish).
Pico de Gallo: In a mixing bowl, combine tomato, onion, jalapeno, garlic, cilantro, and lime juice. Add salt, additional lime juice and jalapeno to taste.
When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to High and preheat, lid closed, for 10 to 15 minutes.
Generously oil grill grate with vegetable oil so fish doesn’t stick.
Remove fish steaks from marinade and lightly pat dry with paper towels. Dust steaks on both sides with more Jamacian Jerk Rub.
Arrange steaks on an angle on the grill grate. Grill for 6 to 8 minutes. Turn fish with a spatula and continue to cook until fish flakes easily with a fork, about 6 minutes more.
Remove from grill and serve with the Pico de Gallo. Enjoy!