What I understand by wild caught fish is that the fish is caught from its natural habitat in the country it is usually found in. My LFS stock wild caught panda Cory's and these Cory's are caught in Columbia from there natural habitat and shipped over to their store from Tom
I've had wild fish before, 8 Corydoras anyway there not as hard as captive fish and half of them died when the heater broke (I didn't realize as it was a cold winter night) and nothing else died.
Anyway Wild fish are what Seal36 described, normally they cost more. Also wild caught fish don't suffer the inbreeding issues captive-bred fish do.
I think it just means they caught fish in their natural habitat and brought them home. My friends go to Hawaii and catch wild fish for their HUGE tank. They are amazing.
Some fish, despite decades of being in the hobby, simply fail to breed at all or in sufficient numbers for demand in commercial fish farms. Synodontis catfish species (with the exception of Rift Lake types and a few "random" success stories) from Africa are one of many examples. Consequently, these fish are caught from wild populations.
The ethics of this are not as straight forward as they may first appear without pause for thought and consideration. A few "pro" factors include...
It gives the local population a supplementary income
Which gives the local population a vested interest in keeping the rivers free of pollution
If cared for suitably, these fish will escape natural predation and thereby live longer in our tanks
Through climate change, some species are now believed to be extinct in the wild eg. Skiffia V188
Through man's drive for "progress", some location specific fish are under grave threat eg. Belo Monte dam in Rio Xingo risking extinction of species such as Zebra Plecs
Some rivers dry up seasonally, eventually killing all the trapped fish through ammonia poisoning (unless collected/saved for the hobby) eg. parts of Venezuela as documented by the amazing footage from Ivan Mikolji http/www.youtube.com/user/fishfromvenezuela