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Our systems cannot send e-mail to a company that has no MX record. There is an SMTP server running on their IP address and they are able to get e-mail from gmail. Is it normal for mail systems to try to connect to a SMTP server at the A record when there is no MX?

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Yes it is standard, per RFC 5321. Please see the Wikipedia page on MX Records

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    and it has been standard ever since RFC 821 too. This also means that if you don't have MX records and insist on having a website without the 'www' prefix then that server will get inbound SMTP attempts too :( – Alnitak Jan 27 '10 at 0:53
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Normally yes, if no MX record exists, the A record should be used as a failsafe.

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    It's not a "failsafe". Originally mail was delivered to hosts (via A records) and then MX records were invented to say "actually, send it somewhere else instead...". – Alnitak Jan 27 '10 at 0:54

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