Download WC3 Viewer from this page. You can open a wc3-mpq-file and search for the mdx or, if it's a mdx-file on your pc, search the mdx on your pc.
Then you do "current file / show used textures names".
Other way is to convert the mdx to a mdl (e.g. with WC3 File Converter), open it with any text-editor and search for "textures".