What fruits and vegetables can I give my parrot?

Don't give your parrot avocado, chocolate, salt, or anything with caffeine because they're toxic to parrots. Apples (without seeds), carrots, broccoli, spinach, oranges, melon, and papaya are safe and he'll love them, but give them to him in small portions as a supplement, not as the basis of his diet.

Have you tried giving him things in different sizes and textures? What a lot of people don't mention is that macaws usually prefer fruits and vegetables cut into medium chunks or sticks, because that way they can manipulate them with their feet while eating - it's part of the mental enrichment they need, not just the nutrition. Besides what was mentioned above, you can rotate in things like red bell pepper (really good for vitamin C), mango, pineapple, and cooked squash, always in moderate amounts so pellets stay the main part of his diet.

Macaws tolerate most of the fruits and vegetables that were mentioned in the answer above pretty well, but what works especially well is leaving them at room temperature or even slightly warm, because that way the parrot eats them with way more enthusiasm than if you take them straight out of the fridge. Besides the obvious stuff (apple without seeds, carrot, broccoli), try red fruits like raspberries or blackberries, which are nutritious and he loves the color. The important thing is to switch up what you give him so he doesn't get bored, and let him explore different textures; some macaws prefer crunchy stuff while others go more for juicy things, so it's just a matter of seeing what catches your bird's attention.