Step 1. Locate the burned out light bulb.
Step 2. Turn the front wheels towards the inside of car, on the side that you need to replace the fog light.
Step 3. Remove the black plastic retainers on wheel lining. You only need to remove the retainers between the front bumper and wheel lining in order to access the back of the fog light.
Step 4. Remove a couple of screws at the bottom of the front bumper that hold the mudguard in place.
Step 5. Disconnect the electrical connector from the fog light bulb. Twist and remove the old light bulb.
Step 6. Install new light bulb and put everything back together.
Your Mazda 3 uses H11 light bulb type for the fog lights.