Firstly, the comparison between MDF and steel would depend on the thickness.
MDF is popular for turntables and speakers because it is cheap and easy to manufacture. But it's not good acoustically. If it was a very thick piece of MDF (1") it might be very rigid and have some mass.
I wouldn't want thin steel for a plinth. However, if it was a thick piece it might be OK (it's what I've had on a Commonewealth vintage idler, as per manufacturer's recommendations, and was OK). Steel might be improved with some Dynamat or similar dampening material, however, too much can suck the life out of a tt. Experimentation is the key to tweaking it with Dynamat - the balance between too little and too much.
If you have thin steel or thin MDF I would throw them out and make something from thick hardwood ply. Do it properly and let your turntable sing.