Preheat oven to 450 degrees F (230 degrees C). Line a cooking sheet with aluminum foil and spray lightly with cooking spray.
In a shallow dish, mix together crushed chips, chili powder, salt, and pepper.
In another bowl, mix egg and oil. Dip catfish in egg and oil mixture, then dredge in chips mixture. Place catfish on foil-lined baking sheet, and sprinkle any leftover chip mixture over the catfish.
Bake in a preheated oven until catfish is flaky and white in the middle, 10 to 12 minutes.
