Context. VX Sgr is a cool, evolved, and luminous red star whose stellar parameters are difficult to determine, which affects its classification. Aims. We aim to spatially resolve the photospheric extent as well as the circumstellar environment. Methods. We used interferometric observations obtained with the MATISSE instrument in the L (3-4 mu m), M (4.5-5 mu m), and N (8-13 mu m) bands. We reconstructed monochromatic images using the MIRA software. We used 3D radiation-hydrodynamics simulations carried out with (COBOLD)-B-5 and a uniform disc model to estimate the apparent diameter and interpret the stellar surface structures. Moreover, we employed the radiative transfer codes OPTIM3D and RADMC3D to compute the spectral energy distribution for the L, M, and N bands, respectively. Results. MATISSE observations unveil, for the first time, the morphology of VX Sgr across the L, M, and N bands. The reconstructed images show a complex morphology with brighter areas whose characteristics depend on the wavelength probed. We measured the angular diameter as a function of the wavelength and showed that the photospheric extent in the L and M bands depends on the opacity through the atmosphere. In addition to this, we also concluded that the observed photospheric inhomogeneities can be interpreted as convection-related surface structures. The comparison in the N band yielded a qualitative agreement between the N-band spectrum and simple dust radiative transfer simulations. However, it is not possible to firmly conclude on the interpretation of the current data because of the difficulty in constraing the model parameters using the limited accuracy of our absolute flux calibration. Conclusions. MATISSE observations and the derived reconstructed images unveil the appearance of VX Sgr's stellar surface and circumstellar environment across a very large spectral domain for the first time.