Preheat to 400°F (204°C). Adjust the oven rack to the center position and line a rimmed baking sheet with parchment paper.
In a small bowl, mix together the chili powder, cumin, salt, pepper, cayenne, lime juice, and olive oil.
Place the tilapia fillets on the prepared baking sheet and use a brush to coat each side of them with the marinade.
Bake the fish until the edges begin to crisp and the flesh is moist and flaky, about 12 minutes.
Make the crema
Meanwhile, in a blender or food processor, combine the avocado, cilantro, salt, pepper, lime juice, and yogurt. Blend until completely smooth, 1 to 2 minutes.
Scoop and swoop the crema onto a serving plate. Add the tilapia and serve immediately.