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When I test my mail server on https://www.testexchangeconnectivity.com/, it is able to retrieve the MX record, but then fails with this:

Attempting to resolve the host name mail.mysite.org in DNS. The host name couldn't be resolved.

Do I need to setup another record besides MX for a mail server?

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If you provide the actual domain name, it will be more useful in trying to troubleshoot the problem. – user3463 Jan 28 '11 at 21:55
up vote 4 down vote accepted

You need to have an address (A) record for your mail server so that it can be resolved to an IP address. Or a CNAME record pointing to a valid address record. Without this nothing will be able to figure out how to contact your mail server.

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