over heating

On the 2.0 Liter engine, the thermostat is behind the cover where the lower radiator hose attaches to the block. On the 2.5 Liter engine, the thermostat is behind the distributor in it's housing where the radiator hose connects. The check engine light indicates that the computer has detected a malfunction in the engine/emission control system and has diagnostic codes and data stored which would be essential in diagnosing the problem. A technician with a scanner could access the diagnostic codes and data and then be able to give you a diagnosis. From your question, I think the best thing you can do is find a Mazda specialist to diagnose your problems. Overheating the engine could ruin it so you need to get it checked out ASAP. If you want to find a Mazda specialist, here's our directory link for you: https://repairpal.com/mazda-repair-in-dixon-california