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MDF would work fine if you are sure it wouldn't get wet. You would also need to put in more dividers and make shorter spans with the shelves than if you are using plywood. After all, MDF is just a thick sheet of paper. I think 2x4's should be left for wall framing and don't have a place in cabinet. You could build the entire thing with 3/4" plywood or MDF and use 1/2" material for the back. If a faceframe on the front would match up better with your house you could use 3/4"x2" clear pine but the bottom rail should be 3 1/2" to 4" wide.Hi, new to any forum so have patience. Im replacing a railing in our house with a pony wall with built in shelves. Its going to be about 12" wide and 8' long, my plan is to build 2 frames out of 2x4 and frame shelves in, its going to be painted and i dont know what type of wood will paint best. Unsure of mdf and im on a budget, so recommended thickness and type would be appreciated. Apologize for vagueness.