MDX is a plugin for Gatsby that allows you to write JSX in your markdown files. This means that you can use React components in your markdown, and embed React apps in your markdown pages. This is a great way to add interactivity to your static sites, and makes it easy to reuse code across your site.
MDX is a superset of markdown, so you can still use all the markdown syntax you're used to. You can also import JSX components and use them in your markdown, which makes it easy to reuse code across your site.
To learn more about MDX, check out the docs: https://github.com/mdx-js/mdx/tree/master/docs