I haven't made a diorama in years, but I do make war games scenery.
It will depend on size and how much variability you want in levels.
For small pieces, I use 2mm hardboard, for larger I use 6mm MDF or even thicker.
I would seal it with a wood varnish or watered down PVA to prevent warping.
The either modelling clay, filler etc if fairly flat or various thicknesses of foam (pink or blue insulation stuff, can't recall the name.
If you have access to some you can also use the thin (2-5mm) hard plastic sheets that are used for signs. Some people swear by it if you can pick up old signs free.