we can copy files by the powerful robocopy tool, and it allow copy using muliti-threaded as well.
As Robocopy is generally a command-line only utility (although a GUI add-on is available for Robocopy), the new multi-threaded operation capability has to be called via a new switch supported by Robocopy. The new multi-threaded copy feature can be enabled and turned on with the following parameter:
/MT[:n]
Where n will instruct Robocopy to do multi-threaded copies with n threads (default 8). The value of n must be at least 1 and not greater than 128 (between 1 to 128), with 1 as single thread. In fact, Robocopy will copy files and folders in multi-threaded operation by default, with 8 threads in one go. Note that /MT[:n] switch is not compatible with the /IPG and /EFSRAW operations.
For example,
Robocopy C:\Folder1 C:\Folder2 /MT:32
Reference: http://social.technet.microsoft.com/wiki/contents/articles/1073.robocopy-and-a-few-examples.aspx
https://technet.microsoft.com/en-us/library/cc733145.aspx