Screwing into MDF typically requires predrilling for the best method of joining parts. The action of drilling removes the MDF material that is taken up by the shaft of the screw. Many wood types, especially soft woods like pine, are forgiving.
By that I mean the soft wood will allow the intrusion of a foreign object like a screw will little distortion to the wood because of the open cell structure of soft woods. MDF has no open cell structure, so there is no forgiveness when driving a screw or nail into MDF. The displaced material has to go somewhere. The result is either a poor joint, or a split in the MDF.