Override views_exposed_form I have a content type called Events. I would like to override the tpl file of exposed form in events listing.

I tried events_preprocess_views_exposed_form to add a template suggestion, I tried to add MYTHEME_preprocess_views_exposed_form to do the same thing, I tried simply to add views-exposed-form.tpl.php in my templates directory from MYTHEME directory but with no success.
From your question, I could understand that you're using views to show your events list with exposed filters and now you want to override the template of that exposed form.

To override the exposed form template for a particular view, you need to create a template in the following name pattern,

views-exposed-form--view_name.tpl.php

For example if your view name is event_list, then the overridden template will be views-exposed-form--event_list.tpl.php.

Once you added the template clear the cache, now view will use the overridden template for exposed form.

Take the views default exposed form template as base to theme your overridden template - Exposed form template

Note : To just override the template, you do not need any preprocess functions.