MDF = Medium Density Fiberboard ... essentially super-fine sawdust pressed together with resin into a very dense and (most importantly) very smooth sheet surface. It cuts and mills nicely ... woodworkers enjoy using it for cabinetry that they know will be painted. It's very dimensionally stable (won't warp, twist with changes in temp and humidity). And, it's cheap.
Downside, though ... not as strong as solid wood or plywood. Doesn't like getting wet.
But for a model train layout, it gives a nice, smooth surface as a "first layer" for a layout.
I suggested 1/4" sheet, which you could lay on top of your OSB. You can also get 1/2" and 3/4" MDF ... the latter is strong (and stiff) enough to support itself over some span.
Now, all of this could be moot if you're thinking building up a 3D layout with foam, hills, tunnels, etc. at some point.
But, hey ... that's the fun of the hobby ... creating something that's just right for you!