An MX (mail exchanger) record tells other mail servers where to deliver email for your domain. Every record has a priority and a host name. A sender tries the host with the lowest number first, and moves to the next one when it cannot connect. Hosts with the same priority share the load.
The host name must have an A or AAAA record. It must not be a CNAME or an IP address. If a domain has no MX records at all, senders fall back to its A record, which rarely is a mail server, so mail gets lost.
A domain that never receives mail can publish a single "null MX": priority 0 and a dot as the host. Senders then stop trying right away.
MX records are DNS records at the root of your domain. Mail that arrives also needs to be trusted, which is what SPF, DKIM and DMARC are for.

