Here are some films that are produced in Mongolia.
This list will build up.
Related links:
http://mongolkino.mn/
http://www.kisetsuga.com/mongolkino/index.html
http://1st-ray-of-the-sun.blogspot.com/2009/07/5-days-in-mongolia.html
http://www.socialistfilms.org/2008/01/tsogt-taij-mongolia-1945.html
Der Scout (1983). An indian film (with East Germany)