Preheat the oven to 425. Line a rimmed baking sheet with parchment paper.
Dry cod fillets with a paper towel. Season both sides of each fillet with salt and pepper and place on baking sheet.
Mix together bread crumbs, Pecorino Romano cheese, mayonnaise, butter, oregano, thyme, and Worcestershire sauce in a bowl until well combined. Spread a generous amount of topping over each cod fillet.
Bake in the preheated oven for 8-10 minutes, give or take for thickness. Switch to broil and broil until topping is browned and cod flakes easily with a fork, 2 to 3 minutes. Serve immediately.