your question doesn't say what make and model this is?
I'd assuming its some kind of turbo diesel ?
and if its got a check engine light then the quickest route to repair is to have the car plugged into a diagnostic machine which will read off the fault code stored in the ECU (providing the light is still on at this point) and indicate which sensor has failed or whether the fault is more serious.
You can do a very rough and ready check yourself by unplugging sensors one at a time and seeing if any of them change the driving condition which would indicate the most recently unplugged sensor is the faulty one. This method is not foolproof though and reading a fault code off is the better method.
however from your description I'd start by checking the connections to the EGR valve, if either the vacuum pipe of electrical connection are damaged / corroded then the EGR can be on all time which certainly will hurt performance. Its also possible that its a fault with the EGR valve so its worth removing the valve and cleaning it out with brake cleaner, if it looks particularly clogged then replace it.
If this is OK then check the small vacuum lines to the turbo and its connected control solenoid on the bulkhead, any cracks or leaks can give turbo issues and its best to have the boost pressure measured actually measured with a boost gauge to check that the turbo is healthy and that the sensor is reading correctly
If its a variable vane turbo (they’ll be an actuator on the turbo body - but not a wastegate) then check its vacuum pipework as above and check the connections to the diaphragm / solenoid valve
Also worth checking that the glow-plug relay is switching off as they can stick on and leave the glow plugs also on - on some cars this can force it into limp home
Also worth considering adding a bottle of injector cleaner into the tank as a clogged injector nozzle will reduce power and give poor combustion - the next stage on from this is to remove all the injectors and have them ultrasonically cleaned and flow checked
Also check all the high pressure hoses post turbo/s for any split hoses or cracked metal pipes, also check the ends of the intercooler as its not unheard of to pop the end caps off under high boost.