Have them eat something nutritious, so they become nutritious. Brine shrimp in particular are basically just shell, like eating cardboard. But if you "gut load" them, load their guts, with something like Selcon they now take on the nutritional properties of Selcon. Dr. Ron says they can't eat it, though. It just gunks up their feeding apparatus. But your fish still get it from them if it's outside their bodies I think.
What are you feeding? While gut-loaded freshwater fish are better than just plain goldfish, any marine fish should ideally be "trained" to accept frozen/fresh marine fare. Lionfish, for example, can get fatty depsosits from a goldfish diet even if they are getting HUFA's from Selco etc....