I usually find that if I get down-thrown by Mario when my percent is too low, it usually says one or two things:
1.) They don't know the match-up or they just haven't fully gotten the hang of how to play the match-up in the early game. This means there might be other areas of the match-up that I can exploit in ways that I wouldn't be able to vs a more seasoned player.
2.) They might be auto-piloting. Which might not be because they are bad, they are just really used to the combo working and are working against many months of muscle memory, even a competent Mario can make this mistake.
Now there's actually a third option here, but to my knowledge, I haven't encountered it yet, but it's still something worth considering.
3.) They are intentionally playing sub-optimal to gather information on me, or to influence my approach to the match-up.
So, what I like to do after breaking out of Mario's down throw, is starting a run. I'll watch Mario and look for him to uptilt out of hitstun and punish the whiffed uptilt on reaction with a dash grab. The transition from being grabbed and thrown then breaking out only to get my own grab into up throw N-air is really satisfying and can lead to big early-game momentum swings in your favor. Keep in mind, that as your percent goes up, the combo breaker takes longer to initiate until eventually it stops working, this means Mario players who still want to try the throw combo and are aware of it might try holding shield. Keep in mind that the magic number is 20%, when you are at 20% the combo breaker no longer works and you'll just have to brace yourself for the follow-ups. If Mario has enough rage (I think about 120 or so) the combo breaker will not work even if you are at 0, so brace for the follow-ups.
Hope that helps.