Hi, I had the same challenge, and when I looked at various forums the advice was not to do it. However, I have tiled an area of MDF where I boxed in heating pipes.... its in my downstairs cloakroom which doesn't experience any damp. I primed the MDF with standard primer and attached the tiles using the Wickes equivalent of No More Nails, then used standard grout when glue was dry. The tiles are absolutely solid and after two months there is no sign of anything moving or falling off! Good luck. :)
DONT prime with PVA. Use an acrylic primer like BAL APD.
9mm is going to be thin and will flex. If you haven't boxed yet don't use MDF use WPB ply and I'd suggest a minimum of 12mm. 18mm would be better. Prime with APD and use a flexible adhesive. Bagged is better than tubbed but if you use Whitestar or equivalent tubbed would be OK.
May be worth remembering that areas which will not obviously get wet in normal use may nevertheless get wet because of totally unforseen circumstances - floods, roof leaks, pipe leaks etc.
MDF and Chipboard both swell if in contact with damp and will shed tiles. WPB, Concrete or Plaster Boards are more resilient.