Much depends on the kind of decorative finish you would like, and the amount of water likely to be spilled on the panels.
You would need to fabricate a timber frame to fix the panels to, if you don't already have one.
Moisture resistant (it isn't waterproof) MDF might work OK. However, as far as I know the thinnest MR MDF is 6mm. If the framework's already in place, there might not be room for this thickness. MDF can be primed and painted. (Thicker MDF is available in some basic colours.)
My own choice would be exterior ply, 3.6mm, with at least two coats of varnish to seal it. Marine ply is more durable, but more expensive. Of course, you can get ply with decorative veneers on one side to suit the look you're after.
Hardboard is widely used for bath panels; 3mm oil-tempered board would be OK.
Whichever panel material you choose, preserve the access to pipework by fixing with brass or stainless steel screws, and screw cups or washers as you're using thin material. Plan to protect external corners (and hide exposed edges of panels) with suitable angle material, screwed on.