sorry guys, you must have two working advanced keys inside the CX-9 at the same time for the computer to go into programming mode for the third key from eBay.
I believe this is not just specific to Mazda but ALL the other car manufacturers require this, so can't blame Mazda.
I'm very surprised you were given only one advanced key if you brought the vehicle new, I always thought you were entitled to TWO keys as standard. Maybe check your bill of sale and go thru the list of every item, I know mine listed two advanced keys.
It's a safety feature, so no one
(i.e. restaurant parking valets) can program an extra key while you're eating,
then follow you or check your GPS "home address" and just steal your car later very easily by having a key.
Thus, they MUST have two working keys to program a third key. And most people don't carry or give valet two keys.
****(SIDE NOTE: this is why I never set my true HOME ADDRESS on my GPS and give valets my house keys , I just give them the CX-9 advanced key only, I recommend all fellow members do the same: set HOME to some nearby business not your true address ) ****
See instructions, it indicates TWO programmed keys required to program third key.