The problem is, that the Joker has been depicted in various different films that are set in various different and entirely unrelated universes. You have the 60s Adam West films and TV-show, the Tim Burton films from the 90s, the Nolan films from the 2000s, and the new films from the DCEU. Add to this his various depictions in animated films and TV-shows, some of which are adapting specific individual comics and some share their continuity with a broader set of DC films and TV-shows. So even if one of those films shows a real name or background for the Joker, this doesn't necessarily transport over to any of the other movies.
First of all, KutuluMike's answer is correct in that his background and origin are largely kept a mystery and this is by design, in order to give the Joker somewhat of a mysterious and uncontrollable nature. This is for example heavily employed and emphasised in the Nolan films, specifically The Dark Knight, his various different stories about his scars being one aspect of this.
Other films delve a little deeper into his origins, often depicting him as falling into some chemical that disfigures him and causes his typical green hair and white skin, which is akin to many of his depictions in the comics. Yet they still eschew from providing a more detailed backstory or even real name for him. The DCEU's Suicide Squad seems very much along this line, as well as the animated film Batman: The Killing Joke, which adapts the Alan Moore comic of the same name and even shows him as being a failed comedian unable to provide for his family before the transformation (however, the actual truth of this origin story is called into question in the very story itself).
A very notable film in this regard is, however, Tim Burton's 1989 Batman film. This film does indeed provide a backstory and a name for the Joker. It shows him as Jack Napier, a mob killer working for Carl Grissom, who falls into a vat of chemicals in a raid led by Batman, thus making Batman actually his literal creator (and thus further substantiating the quite common notion of Batman being the conceptual creator of the villains he faces). But even more than that, it actually turns out during the movie that Jack Napier was the killer of Bruce Wayne's parents (and thus in turn created the Batman). However, as already mentioned, this origin story and background of the Joker is entirely non-canonical to any other Batman films and him being the murderer of Bruce's parents is entirely original to this specific film.