First of all, what does MDX stands for? MDX stands for Multidimensional Expressions. It’s a database programming language to query and create calculations and measures in Microsoft cubes. It’s a language used by databases dedicated to analysis.
To go further, let’s consider the two types of Microsoft databases, multidimensional and transactional ones. In this article we are dealing with the first type of database: the multi dimensional ones
The MDX abbreviation stands for MultiDimensional eXpressions
To conclude, this language is the equivalent of SQL but for cubes instead of databases. Business intelligence applications use it widely to allow end-users to analyze the financial or production data of a given company.
For tabular models and newer analytics tools from Microsoft like Power BI for example, the equivalent language is DAX.
In order to get more informations on the language check the wikipedia article on MDX.