In order to use MDX with Gatsby you can use the gatsby-mdx package.

First, scaffold a new Gatsby 2.0 or greater site and install the gatsby-mdx plugin.

gatsby new gatsby-site
cd gatsby-site
yarn add gatsby-mdx @mdx-js/mdx @mdx-js/tag

Then add gatsby-mdx to your gatsby-config.js in the plugins section.

module.exports = {
  siteMetadata: {
    title: `My Ambitious Project`
  plugins: [`gatsby-mdx`]

Finally, add an .mdx file in the src/pages directory. It "Just Works".

# My first MDX Page

some awesome content

For more documentation on programmatically creating pages with Gatsby, see the gatsby-mdx docs.