Preheat oven to 400 degrees
Dump catfish and potatoes on a large greased baking dish
Sprinkle cayenne powder, salt, and pepper over catfish and potatoes
Combine Greek yogurt and skim milk in a large bowl. Whisk until creamy
Pour yogurt mixture over catfish and potatoes
Sprinkle cheddar cheese over the top
Bake for about 30 minutes or until top is golden brown