Quote from the HSE document in the link added by dc_ni above :-
"What are the dangers of working with MDF compared with softwoods, hardwoods or other panel products?
The atmosphere created by machining or sanding MDF board contains a mixture of softwood dust and hardwood dust (if it is present). In addition, there will also be free formaldehyde, dust particles onto which formaldehyde is adsorbed and potentially, the resin binder itself and its derivatives. However, the levels of free formaldehyde in boards made within the EU at levels of formaldehyde class E1 are thought to be insignificant. This is because at these levels the resin is fully reacted (polymerised) – see Q.4 & Q.5 for information on standards and classes.
Under current legislation softwood dust, hardwood dust and formaldehyde are considered to be hazardous to health. Both softwood and hardwood dusts are known to be respiratory sensitisers and may cause asthma and other respiratory problems. Hardwood dust can also cause a rare form of nasal cancer.
Formaldehyde is classified in the UK, and in the European Union as a carcinogen and it carries the hazard statement ‘suspected of causing cancer’."