The colour of the smoke is an indicator, though new drivers to diesels can start to worry when it's dark, as the soot does tend to hang in the headlights of the car behind, a quick look in the mirror and it looks like it's worse than it is!
Bluish and engine oil is getting in there.
White smoke that stings your eyes is a big fuel/air inbalance, usually injector issues.
(too much fuel, not enough air, but raw fuel is being passed out the exhaust)
Black smoke from a diesel is usually soot from a minor fuel/air inbalance.
(too much fuel, not enough air or both, but the fuel's being burnt)
You've already had pointers to the EGR.
This is a device that recirculates exhaust gas back around into the engine when on light throttle or on the over run, this cools combustion and reduces NOx, otherwise the motor would be pumping air (with no/little fuel).
If the valve is jammed open, you end up recirculating exhaust all the time, this takes away a lot of the available air that's needed, hence the black smoke.
The valves aren't known to live too long and do give a lot of trouble, soot, raw fuel and engine oil from the crankcase vent that's fed into the air intake mix together in it and cause a horrid, claggy gunk.
You might get away with cleaning it out, but quite often the motor that operates it become knackered trying to work against the crud in there, so the whole valve becomes FUBAR.
A quick fix/test would be to blank the exhaust feed to it.
A bit of shaped tin/alloy 2 or 3 mm thick will do it, just slipped into the joint.
If it runs better, you need a new EGR.
Leave the blank in and it will eventually cause a engine management light to come on as emission devices have had to been linked to the engine management systems since Euro 5.
Other reasons for the sooty black exhaust are splits and holes in the air intake after the MAF sensor/turbo.
Loosing air after it's been through the MAF (and been measured by it) has the same effect.