Preheat oven to 425°F (220°C). Line a baking sheet with parchment paper then oil parchment.
In a food processor, whirl peanuts with cornmeal until peanuts are finely chopped (or chop peanuts by hand). Place mixture in a pie plate along with parsley and thyme, and stir. In a small bowl, stir yogurt with hot sauce and salt. If catfish fillets are large, cut into serving–size pieces.
Working with one fillet at a time, brush each side with yogurt mixture. Then, dip in cornmeal mixture, pressing to coat both sides. Place on baking sheet, and repeat with remaining fillets. Any extra peanut mixture can be sprinkled over top, coating any missed spots. Bake until golden and fish flakes with a fork, about 15 minutes.