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No, an X-ray is not a mechanical wave. An X-ray is an electromagnetic wave. However, in polar molecules, an X-ray can cause the molecule to vibrate rapidly, just like a microwave oven can.
To add a slightly more detailed answer than yesterdays kids's answer: X-rays are electromagnetic waves, like light. They're different from visible light because they have a higher frequency, and therefore a higher energy per photon. That also means they have a lower wavelength (since f*Î»=c)