Yup, the thing is, even with preserved you still have to contend with the natural decay of DNA. It's a half life of 521 years. This doesn't mean half the DNA is gone, but half the bonds. So after a couple centuries all you'd see are a bunch of pieces of DNA that you have to, somehow, assemble in the right order, that's a puzzle on a different level. The only way to slow down there process is to freeze which, Uber right conditions, can extend the half life by thousands of years.

Also wooly mammoths are not that old. The pyramids where built when there where still mammoths. But that depends what mammoth we are talking about.

And that's the other reason. When we talk about mammoths, we are talking about many species, that lived across all the north of America and Eurasia for around 5 million years. When we talk about dodos, it's a species that only lived in an island (not Madagascar but way smaller Mauritius) over who knows how long (their branch splits 25 million years ago, but they are so different from their closest relative species that it's hard to define when the actual dodo, vs predecessor species, evolves) but it may not be that much. So the chances that you have pieces of dodos that happened to be in a place that preserve them well enough is much lower than that of any mammoths'.