Before you go any further, we’d advise that you upgrade your factory fuel pump to keep up. A mechanical component inside the fuel pump — which physically lets through more fuel — will need replacing. This is definitely a job for a trusted mechanic.
Once your Mazda MPS has some sort of tuning software installed, such as the Accessport by Cobb, it’ll be time to start upgrading. Instead of doing an exhaust system straight away, as you would have for the turbo cars of the ’90s, start by replacing the downpipe and midpipe off the turbo. These are by far the most restrictive components on the engine, thanks to the cats, and will net you the most gains. Most aftermarket downpipes replace the factory downpipe and front pipe as one unit and flow much better. People have seen around 20 to 25kW from just stepping up these components.
Once you’ve upgraded the fuel pump and front pipe, install a full exhaust system next. Again, there are plenty of aftermarket options available from the likes of Cobb, Mazda3Mods, Custom Performance Engineering (cp-e), and CorkSport. At this point, the new map from Cobb should mean the car is making some fairly decent power, and running more boost. An additional meaty gain can be achieved by replacing the small top-mounted intercooler with a much larger top-mount unit or a front-mount kit. Either will net around 14 or 15kW and decrease intake-air temperatures considerably. Another beneficial upgrade for the serious enthusiast is a water/methanol injection kit, installed just before the throttle body — gains of up to 10 to 12kW have been obtained with this upgrade.