When you want a glossy smooth finish on MDF (Medium Density Fiberboard) panels, you need to do a little prep work before painting. The problem is that the first coat you put on will always raise the fibers in the fiberboard, and they then show up through all the other coats of paint.
Start with a sanding sealer or paint primer and let it dry completely. This will raise and freeze the fibers.
Now sand this down smooth using a ridged sanding block that will ride the fibers and not dig into the finish below. This will leave you a smooth finish while the fibers below are protected from swelling with the next coat of finish.