Combine first 6 ingredients in a medium bowl; add catfish, tossing to coat. Cover and refrigerate 20 minutes.
Combine mayonnaise, juice, capers, and horseradish in a small bowl; stir with a whisk. Cover and refrigerate.
Cook the corn in boiling water for 3 minutes, and drain.
Thread 3 catfish pieces, 2 corn pieces, and 3 bell pepper pieces alternately onto each of 8 (12-inch) skewers. Place kebabs on a grill rack coated with cooking spray; grill for 4 minutes on each side or until fish flakes easily when tested with a fork. Serve with sauce.