MDF or plywood for shadow boxes?

After reading and watching videos of woodworking, I've decided to get my hands dirty and want to work on a simple project for my own house. I am planning to build a couple of decorative shadow boxes with paint job. To hang it on the wall, I have decided to drill holes in the wood and hang the boxes on the screws drilled in the wall so that the screws remain invisible. The problem is that I am unable to decide between MDF and plywood. I have read the differences of both but still need guidance. Can you help me out with it?