First, 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, also called OLAP databases.
The MDX abbreviation stands for MultiDimensional eXpressions
To conclude, the MDX 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 or organization.
MDX queries are therefore indispensable tools for complex SSAS projects.
In order to get more information on the language check the Wikipédia article on MDX.
For tabular models and newer analytics tools from Microsoft like Power BI for example, the equivalent language is DAX.