Welcome to the forum. I'm assuming by MSP3 you mean Mazdaspeed 3. You hit the jackpot with your question. One of the most frequently asked questions and one of the most hotly debated.
Just do a search using terms together like "exhaust" and "smoke"
When you get through, you will probably be totally confused, because there are many possible reasons for this, some of which are very benign, some very serious. I have my own opinion, but as soon as I express it, there will be others with opposing points of view.
Suffice it to say that the issue is common, hotly debated, multifactorial, easy for some to resolve, impossible for others using the same "fixes."
Is the car stock or has it been modded? This makes a difference in the possible causes and the possible solutions.
If stock, you are still in warranty. There is a dealer technical service bulletin on this issue which begins with a change to a different weight oil and ends with a replacement of the turbocharger due to alleged turbo seal leak.
Search, read, form your own opinion. There are lots of views on the subject here, but they are not uniform.