You have to understand that the Latin letters Pinyin are not English. Mandarin is very poor in sounds, still, there is an initials oversupply of SH, ZH, S, Q, J, X, CH etc. which are sort of similar.
X is like SH, but with less air, or a strong S.
Don't worry if you get it a bit wrong, but don't confuse it with the X that is used in English, that would be too wrong.