"Holy smoke!, 1889; Holy cats!, Holy mackerel!, both 1803; Holy Moses!, 1906, Holy cow!, 1942." From "I Hear America Talking" by Stuart Berg Flexner (Von Nostrand Reinhold Co., New York, 1976).
http://www.businessballs.com/clichesorigins.htm
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). The term Holy Mackerel would also have served as a euphemistic substitute for Holy Mary or Holy Mother of God, which is why words beginning with M feature commonly in these expressions. See also the entry for 'holy cow', etc.
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Thanks Steve for sharing the site with us.
To my surprise, Holy mackerel does not go back beyond like 500 years or even 1000 years, since Holy Jesus could have happened 2000 years ago.
Covertly, I thought that Moses may have been considered as holy person as well as Mary or Mother of Jesus.
Therefore, I thought that mackerel could be a spin-off of Moses.
Or, it may be something to do with King Salmon.
King Salmon, King Solomon - get it ?