And I want the y object in X class because I will send another signal if Y is visible

Who will emit this other signal? X or Y?
In general you should avoid such circular dependencies - this is bad design.

Slots should be connected to signals from somewhere which can "see" both the signal and the slot. This might be in the slot class, or it might be in another class which includes both signal & slot classes. What you should not do is connect to an external slot class from the signal class --- slots may know about signals, but signals should never know about slots.

x = new ClassX();
y = new ClassY(x);

x = new ClassX(y);
y = new ClassY(x);

In the first line the value of y is undefined

// In mainwindow.h
class ClassX; // Forward declaration for ClassX
class ClassY; // Forward declaration for ClassY

ClassX *x;
ClassY *y;

// In mainwindow.cc
#include "classx_header_file.h"
#include "classy_header_file.h"

x = new ClassX(y);
y = new ClassY(x);

This technique makes header files smaller and helps to reduce compile time.

ClassX *x;
ClassY *y;

mainwidget.cpp(constructor):

x = new ClassX(y);
y = new ClassY(x);

And yes I need to move instantiation to .cpp.

Created objects and instantiated them in header

In header?! This is usually done in cpp, not in header files.
If ClassY needs to disconnect from the signale then yes you can pass pointer to ClassX to ClassY, so ClassY can connect and later disconnect from the ClassX signal.
If there is no need to disconnect from signal then you can simply call connect where you're creating ClassX and ClassY instances.