Heat oven to 375° F. Place the salmon on a parchment-lined baking sheet, drizzle with the oil, and season with 3/4 teaspoon salt and 1/2 teaspoon pepper. Scatter the orange, lemon, and thyme around the salmon.
Roast until the salmon is opaque throughout, 20 to 25 minutes. Using 2 large spatulas, carefully transfer the salmon to a platter and scatter the orange, lemon, and thyme on top of it.
Make-Ahead Tip: Slice the oranges and lemons. Refrigerate in a resealable container or bag for up to 1 day.