Hm that is a real issue, so called water resistant MDF and sundry water proofing products will work to a certain extent but eventually will fail if left out all the time and in contact with damp conditions. Roofing wise some roofing felt on top of the MDF will give extended protection but eventually that will fail. A policy of bringing indoors for the winter months will help but that is a real pain, something that I personally never wish to do.
There are Moulded Kits that will fare well outside, I think that Paul (Casey Jones) uses Model Town kits that are somewhat cheeper than the likes of Piko and Pola kits.
But have you thought about using Foamboard (plastic coated) will survive well outside if you feel competent. Quite a few of us on here use this, it is easy to cut and scribe brick, slate, wood planks or stonework on. Start small with just perhaps a line side hut. The joy to be had on seeing your own home built building is well worth the effort.