Suggested prior reading: » Etymology of Khoda / Khuda & khvet-vadta
Also see » God, Time & Creation in Zoroastrianism
What is the difference between the Avestan, Old Iranian words Ahura, Mazda and Yazata (Khoda, Hormazd/Hormuz/Hormozd and Yazdan in Pazand, New Persian)?
The words 'ahura' and 'khoda' mean 'lord'. Khoda has its roots in Avestan khvadata (khvadhatahe) meaning sovereign i.e. self-reliant, self-sufficient, self-governing and independent. Khvata or khwada (lord)/ khvatay or khwaday (of the lord) is Middle Persian (Pahlavi) while khoda / khodai is Pazand or New Persian (Pazand). Khvadata is linked to Khshatra (meaning lord or king).
The difference between God and Lord is that between creator and sovereign. While today 'Khoda' is used almost exclusively to mean 'God', in the past, it could mean a temporal lord or king as well.
The words 'ahura' (Avestan, Old Iranian), 'khvatay' or 'khwaday' (Pahlavi, Middle Persian) and 'khoda' (Pazand, New Persian) share the same root word 'ahu' (Av.) meaning 'lord'. 'Ahu' evolved to the Middle Persian 'akhv' or 'akhw'. Ahu has been used in words such as landlord or village chief.
However, the words 'ahura' and 'khoda' appear to have taken on slightly different nuances in meaning through usage. The difference to this writer appears to be that while people may live under the dominion of an ahura (a lord who has dominion or control), khoda denotes being sovereign. Therefore, the distinction this author sees is that 'khvadata'/'khoda' means 'sovereign' while 'ahura' means 'having dominion'. Both are attributes of a lord whether temporal or divine.
The title Mazda, God, confers the supreme quality of being a creator ex-nihilo i.e. out of nothing or from a thought as alluded to be Gatha Y. 31.11, the intermediate agency being the spiritual creation with the material manifesting itself from the spiritual (cf. Gatha chapter Y 30). Some authors translate the creative ability from a thought as a function of wisdom and therefore we have Mazda = Wise God. The creative function of Mazda is affirmed and reaffirmed repeated throughout the Zoroastrian scriptures, the Avesta, in the term 'Mazda-data' which translates variously as God-created, God-given and God-gifted.
[According to Prof. Martin Haug in Essays on the Sacred Language etc. at p. 301 note 1, originally 'Mazda' (which he feels is phonetically identical with the Sanskrit 'medhas' from 'mad' = 'all' + 'dhao' = 'creating') would not have originally meant 'wise'. Rather, it would have originally meant "creator of all" as demonstrated in Yasna 45.1. Zarathushtra combined his concept of a singular creator God with Ahura-Tkaesha, the 'Doctrine of the Lord' to promulgate the Mazdayasno Zarathushtrish Vidaevo Ahura-Tkaesho meaning 'Zarathushtrian God-Worship, opposed to the Daevas (through the) doctrine of the Lord.]
Why make a distinction between God and Lord? Because it is possible to be a lord and not a god. When we perceive yazatas (Avestan, Old Iranian) as being (divine) angels with specific areas of dominion, they are ahuras over their areas of guardianship as agents of God. However, yazata angels do not have the supreme quality of being creators ex-nihilo i.e. they are not Mazda. [Yazata can mean 'of the Divine' or 'venerable'. It can also mean ‘divine quality’ or ‘divine attribute’. 'Yazamaide' means 'venerate'.]
The poet Ferdowsi uses the word 'yazdan' in Parsi, New Persian ('yazdan' being derived from the Avestan, Old Iranian 'yazata') in 'Pak-e Yazdan' to mean 'Pure Divinity'.
Today, therefore, we have four primary ways to address the Ultimate: Khoda (Lord Sovereign), Ahura (Lord with Dominion), Mazda (Creator) and Yazdan (Divinity). While 'Mazda Ahura' is commonly translated as 'Wise God', if we define Ahura Mazda by attribute, it translates as Lord God.