MDF stands for Medium Density Fiberboard. It is a type of fiberboard made from wood or other lignocellulosic (aka dry plant matter) materials that are refined into fibres and reconstituted with a resin binder (glue) at high temperatures. It is one of the four main categories of wood-based panels which also include laminated boards, particle boards, and oriented strand boards.
The reason that MDF is so popular as a material is that it’s easier to machine than natural wood and it can be laminated and painted to create almost any board finish. It also has a lot of characteristics similar to natural wood and so can be used as a substitute for it.