Filming began in March 1993, and the first scene perhaps appropriately involved the sequence where Dana Scully first meets Fox Mulder… The actors had only been able to rehearse at a table reading, not on the set, and Carter knew those first dailies would be closely scrutinized — in part because of the haggling that preceded Anderson’s casting, in part because the nature of the actors’ relationship would be central to whether the show itself would work.
The actors had an immediate rapport, despite difficult conditions. Duchovny was taken with Anderson’s grit and determination as they filmed one scene in the face of freezing rain; and Anderson joked that Duchovny had a pretty good rapport with most women….
When it was all over, director Mandel recalled saying that they’d all see each other again when the show became a series, a comment few took very seriously based on the survival rates of most pilots.
The X-Files Episode Guide, seasons 1&2