If you are setting up MFA for the first time (not just MX)
Ensure that you access the authenticator app and follow the option to add a new account; do not use the camera app to scan the QR code.
If after scanning the QR code MX will not accept any of your six digit codes from your authenticator app (wrong code error), please delete your authenticator app and re-install.
You should not do this if MX is just one of many accounts that you are generating codes for, as you will potentially lock yourself out of those accounts.
If you have previously used an MFA code to access your MX account
Check that MX is accepting all six numbers that you are typing on the entry screen.
Check you do not have more than one authenticator app on your phone
Check the account you are looking at in your app is definitely for MX (and not another account that uses the same email address).
If none of the above checks work, use a backup code to access your account and reset MFA.