Both my headlights on my 2007 Mazda3 went out at the same, why would this happen?

Most likely a fuse, check the owners manual for location of fuse box (usually in the cabin ) to see if anything else runs through the same fuse; (glove box light, map lights, cig lighter etc.) If so then checking if they are working or not can usually be faster than trying to remove a fuse. That confirms or excludes the fuse; Confirmed- replace fuse and hope it doesn't happen again or it'll be down to the auto-sparky to source an earth problem. Excluded- back to your manual and look for the relay for the headlamps, usually in the under bonnet fuse box, check the numbers on it, starting with 12V/ (12V/ ***A -**A). and swap it for another with the same numbers. If your lights work after this remember to replace the faulty relay otherwise something else will now not work, brake lights, indicaters etc. Good luck.