How do I make WinSCP show UTF-8 encoded (Unicode) filenames correctly?

SFTP protocol specification requires that client and server uses UTF-8 encoding (Unicode) for file names only since protocol version 4. So, as long as your server supports at least version 4 of SFTP, WinSCP will show UTF-8 encoded filename correctly automatically. However some implementations use UTF-8 encoding even for older version of protocol. In such case you have to enable UTF-8 manually. See session option Server does not use UTF-8.

With SCP protocol WinSCP does not support UTF-8 at all.