First I am sure, pdflatex can compile Tex file with Chinese file name without problem. For example, the Tex source content is as follows
\documentclass[UTF8,hyperref]{ctexart}
\begin{document}
中文
\end{document}
save it as a file named "中文.tex" and run
pdflatex 中文.tex
everything is OK.
Now, in order to speed up the compilation, we make pre-compilation according to this link. That is to edit a file named "pre.tex" whose content is as follows
\documentclass[UTF8,hyperref]{ctexart}
and run
pdflatex -ini -jobname="pre" "&pdflatex pre.tex\dump"
to generate a .fmt file called "pre.fmt"
now, we use this precompiled .fmt file in out tex source like
%& pre
\begin{document}
中文
\end{document}
if we save it as a file named "en.tex", and pdflatex en.tex works fine.
But if we save it as a file named "中文.tex", then pdflatex 中文.tex will show errors like
What is wrong here? why precompile doesn't support Tex file with Chinese file name?
I upload the file "中文.tex" download here

pdflatex, and then drag&drop the file on the Terminal window? It looks like your terminal doesn't see the Chinese characters, so what you type is not what it needs to see. I'd try that. Don't forget the space afterpdflatex. – Alenanno Dec 15 '15 at 13:39%& prefile and loaded the format but then wasn't able to continue. You should report this to the tex live mailing list. (But I would avoid such file names. There are not very portable.). – Ulrike Fischer Dec 15 '15 at 13:48pdftex -format=pre 中文.tex, instead of relying on the%&line? – egreg Dec 15 '15 at 13:50