In Puerto de Mazarron there is an indoor market that has about 3 or 4 fish stalls - that´s opposite the Bus Station on Av Dr Meca - open everyday I think. The Mazarron town indoor market has has 2 or 3 fish stalls and open every morning except Sunday.
Anothjer good place is the large freiduría near to Arc de Mediterraneo (fish restaurant) Puerto de Mazarron - it’s a bar, fresh fish stall & they even will cook your fish there. You order up your beer from the adjacent bar, then nip next door to buy your cooked calamari & fish tapas - it’s all priced by weight. It’s only open during the summer, which is a real shame as it’s such a different experience.
In the Port you can watch as they unload the fishing boats & then they are taken into the building next to harbour & the fish are aucioned off, but I think you need to be a retailer to be part of the bidding - still it´s good fun to watch.
Buen provecho!