The cel doesn't just come on all by itself. There are codes behind it, but an Autozone type of OBD read might not pick them all up.
When you replaced the EGR valve, did you clean out all the ports at the same time?
Mazda EGRs have been problematic because the plumbing carrying exhaust in to the valve gets sludged up and the stuff hardens and chokes off the flow. They have to be cleaned with carb cleaner and have the crud reamed out (Mazda had to provide an extended warranty and completely redesign the EGRs for Canadian cars incorporating a hot water jacket in them to prevent premature failure). Another frequent source of cel is intake air leak downstream of the MAF.
Search for a forum topic by Adam S dated 04.20.2009 starting "I have a 2000 Mazda Protege, 1,8L with 5 speed manual transmission @ 190,000 kms" and follow the threads to the oldeng thread dated 04-13-2009, 10:06 PM. and follow through the technical stuff in that that thread.
Pop the air filter and look very carefully and flex the air intake duct look very carefully for cracks/ splits especially in the corrugations near the engine end, be thorough, (they are hard to locate and can close up so well with the engine stopped or idling that they produce no symptoms).
Check your PCV too, just yank it out and shake it: if it rattles, it's OK.
Check all of your plumbing around there for leaks too.
For the EVAP sytem, you'll find a map of it under the hood which will help in finding what goes where; usually you just pull a pipe and use your thumb to test for good vacuum. Another test for vacuum is your cruise control; it's a good sign if it's working normally and speed stability is good.
Sounds dumb, I know, but just having a loose or worn gas tank cap can cause an EVAP fail, which will set the cel on.
This post was a bit Protege specific, but the key points apply for the most part to Mazdas in general of that era.
Don't spend big bucks on hardware replacement until your certain that the problem is not elsewhere.
Keep us posted on your progress.