I've never shot MDF but I use scrap 3/4 plywood to stop pellets when I am getting velocity readings on my 25 caliber Avenger. It blows through it with the regulator set to 1500 psi. fpe is 33 to 39 depending on the pellet weight. Velocity goes from a little over 700 fps to over 850 depending on pellet mass. I have a second piece behind the first and it just gets dented typically. I will turn up the regulator eventually but I am having fun with it at the low regulator setting. It can be raised as high as 2900 psi on this rifle. My main hobby is woodworking. I don't like MDF because the dust it makes is terribly nasty. It is not stronger than plywood, it is weaker. It is also easily damaged by water. The Brits talk about water resistant MDF but I've never seen it. For shelving purposes we look at the modulus of elasticity. Hardwood is strongest, has the highest modulus, softwood is next, then plywood, then particle board, then MDF. I don't know however, if that translates to penetration but I tend to think it does. If I had any laying around I would shoot it and find out. I agree, however, that MDF will be more consistent than wood or even plywood. Shooting it may be a good thing to do with MDF.
Here is how the back of the MDF looks, can see that the .30 and .25 didn't make it through.And on the immediate cardboard backing you can see some nice expansion on the Hollowpoints.