MDF, or medium density fiberboard, is a wood board which is made out of wood fibers and wax or resin. This board is made up of separated fibers like particle board, but it is denser and can be used like plywood. Because of the construction of the board, it doesn’t take stain like other types of wood. There is a process, however, which you can do with the stain which will help you achieve the look you are going for.
Place the wood on a flat surface. Sand the entire surface of the MDF down to get a smooth working area which is free from splinters and other blemishes.
Starting from one end, apply the stain to the board in long strokes, like you would with paint. Keep the strokes varying lengths. Work from one end of the wood to the other in a long row.
When you finish the first row, begin on the second row slightly over lapping the first row of paint. Work your way down from one end to the other.
Repeat this for all remaining rows on the board, painting in long strokes and overlapping each row slightly. Let the stain dry overnight and then use the wood.