Before you paint MDF check the surface out. It should be smooth and have sealed sort of sheen, near matte look to it, no grain or directional lines. Laser cut MDF should have a slight tackyness to the surface and show some burn marks to it to. The manufacturing process of MDF is done in a roller press like manner (for the detail crew I say like), a bit like making rolled steel. As such the surface is sealed by the resins and the process. If the surface has been sanded then thats your problem. Its your grade/quality of MDF.
Sealing it... stop - n - just paint your base colour and get going.