Spray grill rack with nonstick spray.
Preheat grill to medium-high heat.
Whisk together the oil, horseradish, soy sauce, garlic, salt, and pepper.
Brush oil mixture on both sides of salmon fillets.
Grill the salmon, skin side down to start, with the lid closed until just barely cooked through the center, about 4-6 minutes for the first side and 2-4 for the second side, basting with the oil mixture when flipping. (Note: Wild salmon fillets may cook more quickly. Aim for an internal temperature of 120℉ for wild salmon or 125℉ for farmed salmon.)
Transfer to plates, and serve with the horseradish sauce.