There has been a lot of construction with some new roads in my area that don't show up on my NAV.
So, how much of a pain is it to do the update?
I think I can do it for free for 3 years after I bought the car.(got over 1 year left)
You can do the update through the MyMazda site. You have to register. The update itself takes a while to complete. The process is not very intuitive.
Good Luck.
As others mentioned even the newest version is quite old. Also, they don't do a great job updating the roads, at least not where I am. Some one-way streets are either marked as two-way or the direction is wrong. Some permanently pedestrianized streets still show up as regular roads. And these aren't recent changes.
In fact I downloaded the HereWeGo app (Mazda uses Here maps in Canada AFAIK) and the mistakes shown on Mazda Navigation are also there. I don't know if they listen, but here is their feedback page.