If you are referring to the coolant temperature sensor which sends signal to your dash guage and controls when the radiator fans come on refer to the following website if you have a 4 cyl vehicle. http://www.mazdaforum.com/archive/threads/coolant-temp-sensor-how-to-replace-pix-4746-1.html
Follow + battery cable should connect to solenoid
I had the same problem on my 98 Mazda 626 and the O2 sensor was faulty.....
where is the location of all o2 sensars in 99 Mazda 626
on the throttle body
Yes, it has a speed sensor, about $125 online.
On the 2000 626 it is directly under the air filter box.
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Mazda 626 frm 1996 doesn't have O2 sensors, have you ECU/PCM inspected, it might have a minor damage.
the ABS sensor is bad.
It's part of the distributor
You did not specify which O2 sensor it is. Is it sensor 1 bank 1, sensor 2 bank 2, sensor 2 bank 1, or sensor 1 bank 2. There are four O2 sensors on a mazda 626
98-99 Mazda 626 do not have speed sensor. Speed data is obtained from ABS. Therefore if you are having speedometer issue then the problem is more complex as you have expected. Good luck!