For the same bhp, when inert exhaust gases are injected into the intake the throttle valve needs to be more open. This reduces pumping losses at part throttle (cruising), increasing mileage by a few percent.
Also the heat from the exhaust gases injected by the EGR enhances fuel evaporation, which helps after cold starts in winter (that's why our Z22SE throttle bodies don't have a hot coolant line going thru them).