I am a researcher fellow in hospital with J1 visa. Chinese government will provide me the scholarship in the period of staying in US. What about tax return in my situation and what should I prepare for tax return? Thanks!

If you are a non-resident alien (the first 2 years on a J1 you are exempt from counting days for the substantial presence test unless you were exempt for 2 years out of the last 6 years already), you would only report US source income on your return. So if you get paid in China, you would not need to report that income. In this case you would only file a form 8843 for yourself and any dependents you have.

What TaxForAliens says is accurate. Further, if you qualify, you may be totally exempt from income taxes fir up to five years under your J-1 visa.

This is from IRS publication 901:
"An individual who is a resident of the People's Republic of China and who is temporarily in the United States primarily to teach, lecture, or conduct research at a university or other accredited educational institution or scientific research institution is exempt from U.S. income tax on income for the teaching, lecturing, or research for a total of not more than 3 years.
This exemption does not apply to income from research carried on mainly for the private benefit of any person rather than in the public interest."

Even if you are paid by Chinese government, while doing research in USA, this is US income. You will report this on your nonresident tax return and claim exemption under tax treaty. You will file Form 1040NR or 1040NR-EZ and 8843.