What type of EGR system is on that mazda? Ford engines in particular have been known in the past for crappy EGR setups that get plugged and cause fuel mileage to go down. If you noticed this around 80-100k miles that'd be my bet on the problem.
Also my personal experience with older fords (late 90's early 2000's) is that the sensors can be off by enough to cause mpg and even slightly rough running but not they're not bad enough to cause a CEL. I've started only buying napa or OEM sensors after discovering even new sensors that were pretty far off.
You can sometimes 'kinda sorta' fix it by using seafoam, which breaks down all the carbon so it gets sucked into the motor and burned. I'm on the fence about the benefits of getting rid of carbon vs downsides of the engine burning carbon or possible carbon chunks get sucked in. I've used seafoam and it's cleaned EGR systems enough to make it run better but it was just as bad after a few months. I feel like this is more of a "I'm about to sell my car and it runs rough" type of fix and not so much of a "I plan on keeping this car another 5 years and need the motor etc to last as long as possible" sorta thing. No doubt that it breaks down carbon and cleans stuff out though
If it were me, I'd look into EGR stuff and consider pulling the intake manifold or whatnot if necessary to clean it (or have it cleaned by a radiator shop). If it were an older car or a motor with lower tolerances then I'd use seafoam.
I'd also definitely run 2-3 cycles of concentrated fuel cleaner.. I prefer chevron w/ techron, I wait until I'm at about 1/2 a tank before using it.
IMO there really isn't much that can cause mpg losses as far as drivetrain. If a bearing or u-joint were dry and/or wearing out enough to cause a ~3500lb vehicle to incur a 10% mpg loss then it'd fail pretty quickly - at least over a couple thousand miles.
It sounds like you have over 100k miles.. If you haven't done a full tune-up in the last 60k I'd probably go ahead and do one. Air filter, fuel filter (important!), plugs, wires, flush brake fluid, etc etc etc if you're planning on keeping the car awhile.
......but again, my bet is egr system.