Got new fuel pump relay, but did not help. Changed fuel filter. No help. Unplugged vacuum hose from EGR, still won't run. It starts fine, but like it's got no gas it stops right away.

How can I troubleshoot what is wrong and/or what is most likely wrong?

Hopefully, reading sections A and B will help you:

https://www.askmehelpdesk.com/cars-trucks/faq-how-troubleshoot-repair-maintain-honda-civics-46563.html