You might want to try this:
= Look through the "Current Selling Price for a CX-5" thread here and know what you consider to be a reasonable price for your exact Model/Trim/Color before you begin.
= Best time to do this is during the last week of the month, but timed so your purchase will occur before the end of the month so they can tally it against their monthly quota.
= Check the internet inventory listings for the dealers that have the car (Model/Trim/Color) you want. Get the phone numbers of their Internet Sales Rep. (ideally for 3 - 5 Mazda dealers in your area) (doesn't really matter how far they are away). If they're distant ask if they can deliver the car if you buy it (this is getting more and more common as the distant dealer considers you a customer they otherwise would never have had).
= Call them up and tell them you want their best offer on the Model/Trim/Color CX-5 of your choice, give them one or two days to reply. Tell them you won't be pursuing the purchase with any dealership that won't give you an actual first bid *in writing via email* (they'll all want to wait until you get your bids in then counter it, no dice on that. No bid, no deal). Make sure the bids include the "Out the Door" price including Tax, Title, License, "Doc fees", and any other processing fees all itemized. At that point you can either accept the lowest bid, or call each one back and offer them a chance to better the lowest. If you're in a rural area it's best if you can include at least one or two dealers from a nearby urban area. They'll have more pricing latitude due to higher volume and be used to competing on price. Rural dealers can be more rigid on pricing since they are used relying on the fact that they're the only game in town.
The point is that the only real leverage you have is to get dealers to compete among themselves. Don't go into a dealership for any reason, use the phone. During the test drive phase tell them ahead of time you're also considering a CUV of another Make (e.g. Honda CRV) and you haven't test driven it yet and won't be making your choice until you do, so you can extricate yourself from the dealer without a big sales harangue. Once you're on their turf they'll use every trick to keep you from leaving without a purchase. On the phone the playing field is leveled. At the dealership you're at a disadvantage.