here is what I know.
Not sure about 2016 but gen-2 is almost the same body parts and they have same engine and auto trans. the engine has different compression though and ecu and infitainment is different soft. radio from usa doesnt work too.
us models have orange lamp in the side of the headlamps vs eu which doesnt have orange. US models do not have rear fog lamps in the bumper. just reflectors.
emissions are ok.
Requirements for imports (if you plan to register the car there) in most Eu is to have km on dash, headlamps if hid/led to have washers and driver lamp to not be high to blind oposite traffic, all blinkers have to be orange.
but the big but..you have to pay import duty and vat most of the time. which adds to the cost.
All that if you want to register the car in eu. if you want to drive it with US plates its different story. You can but may have to go out and in the country at certain periods.
you can order parts which are drastically different from US and ship to Eu. servicing is not a problem if you have the parts.
And if its worth it..thats up to you.
Mazdas are generally bit more expensive in EU as it is considered in the semi-lixury class there.
I have seen US Cx5s registered in Europe so it is possible.
Shipping somewehere in the 2-3k usd, may be cheaper if you are near big port. Need insurance for the shipping and the car has to be paid off - i.e no lien. And some ither papers but whoever you pick for shipping and then importing will let you know.
process is more or less:
shipping + export of usa, customs papers
import , pay whatever taxes, customs release.
local test for the specific eu country compliance,
sometimes need emissions certificate from the local Mazda office,
local registration, insurance, etc.