If I ask a former employer for my employee file, do they have to give it to me?

No, your former employer does not need to give you the employee file. The employee file may have been about you, but it does not belong to you--it is the property of the employer and you, as an employee, had no rights to it. The only way to force or require them to give it to you would be if you sued them (e.g. for illegal discrimination; for violation of wage and hour laws; etc) and in the course of the lawsuit, used the legal mechanisms of "discovery" (e.g. document requests; written interrogatories) to gain access to the file.