The 2.0 liter Mazda diesel engine is really just a car engine. I wouldn't put it in a Mazda pickup and the problem with that engine is it is set up for a front wheel drive vehicle. My dad owns a 1986 Mercury Topaz diesel with the same engine. It is a pretty quick car, the engine is an OHC, and it gets down the road pretty good with a fuel mileage rating of 43 mpg. Since a Mazda pickup is rear wheel drive and weighs more than the car, I couldn't see the pickup performing any better. Now to help you out with what you want to do, Mazda offered a diesel engine in its 82-84 B2200. Now the diesel engine in those trucks was a truck engine. It is a 2.2 liter 4 cylinder OHV that generated 58 HP. Not a lot of HP, but with the reliability of that diesel it's great to have. That would ultimately be the best conversion you could do with a Mazda.
1987 Toyota 1 ton dually w/ 9 ft utility bed
(FOR SALE- PM if interested)