At the risk of fanning the flames for the 12th time on this forum, I really don't care for the Mazda3 I had. It was fine if you drove up to 7/10ths but beyond that it felt undercooked in many aspects when it first came out in 2014.
The Mazda3 may be lighter, quicker in its reactions but as a whole package, the Golf is better executed and thought-out and also has more rear cargo capacity, plus other things. But to each his/her own I guess.