In your case, I believe it is likely that the DPF light is indicating the DPF is nearly full. Read the DPF section in your owner's manual carefully, and follow the instructions.
Also read the section in your owner's manual about the oil level, then check the oil level EXACTLY as it says in the manual. If the oil level is too high then the car needs urgent attention.
Unfortunately, Mazda diesels similar to yours do seem to have problems with the DPF system.
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