Front-wheel drive CX-5s with the naturally aspirated 2.5 liter net you 25 mpg city and 31 mpg highway — all-wheel drive drops 1 mpg in both categories.
For a little comparison, the turbocharged engine makes 250 horsepower and 310 pound-feet of torque on 93 octane gasoline, while the non-boosted engine makes 187 horsepower and 186 pound-feet of torque. You're definitely taking a hit in fuel economy, but the gain in power might be worth it, since the decrease isn't that terrible.
Cars in its price and power range with all-wheel drive have comparable fuel economy. The Ford Escape with the 2.0-liter turbo is rated at 20/27; Chevrolet's Equinox with the 2.0-liter turbo is 22/28 and the VW Tiguan gets 21/29. There isn't really a clear winner in fuel economy for this much power when you look around the segment, but Mazda's engine is half a liter larger than everyone else. This translates to better torque than most of its competitors, but Mazda manages similar fuel economy.
Also similar to many of these decked-out compact crossovers is the new high price of the Mazda we wrote about before. You won't be getting in to the turbocharged CX-5 for any less than $35,865. If you wanted a bigger Mazda like the CX-9, its fuel economy figures aren't significantly worse than the CX-5. Front-wheel drive versions are rated 22/28, and it drops 2 mpg in each category for all-wheel drive. The updated 2019 CX-5 should be coming to dealers soon.