Preheat your oven to 375°F. Prepare a baking tray with parchment paper and arrange the cod fillets on it. Place the garlic slices on the fillets and season with salt, pepper, and a pinch of cayenne pepper. Drizzle the olive oil on the fish, combine with the thyme leaves, and marinate for 10 minutes.
Place the cod fish fillets on plates and garnish with thyme leaves and lemon wedges. Serve immediately.