Short answer: No, it is not vulnerable to man-in-the-middle attacks, assuming that Alice and Bob each have the right signature verification key of the other party.
Yet, the man-in-the-middle attack could have taken place at the moment of exchanging the signature verification key. So if $sig_{X}$ is party X's signature key, the attack on the exchange itself could go as follows (using your notations):
Alice $\rightarrow$ Eve : $Bx = g^{Ax}, \mathsf{Sign}(sig_{Alice}, Bx) $
Eve $\rightarrow$ Bob : $Bx^\prime = g^{Ax^\prime}, \mathsf{Sign}(sig_{Eve}, Bx^\prime)$
then
Bob $\rightarrow$ Eve : $By = g^{Ay}, \mathsf{Sign}(sig_{Bob}, By) $
Eve $\rightarrow$ Alice : $By^\prime = g^{Ay^\prime}, \mathsf{Sign}(sig_{Eve}, By^\prime)$
Alice and Bob would accept the transcript, believing they are actually talking to each other (since they respectively believe that $sig_{Eve}$ is the other's actual signing key). As a result, the protocol would be exactly as secure as unauthenticated DH exchange.
On the other hand, if Alice (for instance) received Bob's key in a "verifiable" manner, for example via trusted certification authorities, or during a face-to-face meeting with Bob that attack could not happen: Alice would detect that $\mathsf{Sign}(sig_{Eve}, By^\prime)$ was not actually signed by Bob. In practice (in Tor for instance), at least one of the parties has the certified public encryption key of the other and sends its half of DH encrypted. That is considered secure.
Also, in any case, as pointed in kodlu's answer, the protocol is vulnerable to replay attacks.