Pretrained Language Models (PLMs) have achieved tremendous success in natural language understanding tasks. While different learning schemes -- fine-tuning, zero-shot and few-shot learning -- have been widely explored and compared for languages such as English, there is comparatively little work in Chinese to fairly and comprehensively evaluate and compare these methods. This work first introduces Chinese Few-shot Learning Evaluation Benchmark (FewCLUE), the first comprehensive small sample evaluation benchmark in Chinese. It includes nine tasks, ranging from single-sentence and sentence-pair classification tasks to machine reading comprehension tasks. Given the high variance of the few-shot learning performance, we provide multiple training/validation sets to facilitate a more accurate and stable evaluation of few-shot modeling. An unlabeled training set with up to 20,000 additional samples per task is provided, allowing researchers to explore better ways of using unlabeled samples. Next, we implement a set of state-of-the-art (SOTA) few-shot learning methods (including PET, ADAPET, LM-BFF, P-tuning and EFL), and compare their performance with fine-tuning and zero-shot learning schemes on the newly constructed FewCLUE benchmark.Our results show that: 1) all five few-shot learning methods exhibit better performance than fine-tuning or zero-shot learning; 2) among the five methods, PET is the best performing few-shot method; 3) few-shot learning performance is highly dependent on the specific task. Our benchmark and code are available at https://github.com/CLUEbenchmark/FewCLUE