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With python I can save a file labeling its name with a given parameter t in the following way

import matplotlib.pyplot as plt
fig=plt.figure(1)
plt.plot([1,2,3,4])
t=0.1
fig.savefig("filename%f.png" % t)

and the name of the saved figure will be something like "filename0.1000.png".
How can I do the same with wolfram mathematica?
In other words, what is the mathematica equivalent of %f ?

In Mathematica you can use StringTemplate:

filenameTemplate = StringTemplate["filename`n`.dat"];
filename = filenameTemplate[<|"n" -> 1234|>]
(* "filename1234.dat" *)

This will create a filename with a number from the Association:

<|"n" -> 1234|>

If you want the output to be exactly the same as in your example:

t = 0.1;
"filename" <> ToString@NumberForm[t, 1, 4] <> ".png"
(* filename0.1000.png *)

EDIT

StringTemplate is better if you need to do multiple replacements within the string (less messy string concatenation) and avoids some duplication if you need to use the same template in different places in your code. But for the latter case it would be better to encapsulate the filename generation in a separate function.

StringTemplate has options for specifying a CombinerFunction and an InsertionFunction. The default InsertionFunction is TextString so there is no need for the ToString.

t = 0.1;
filenameTemplate = StringTemplate["filename`t`.png"];
filename = filenameTemplate[<|"t" -> NumberForm[t, 1, 4]|>]
(* filename0.1000.png *)

And there is a whole lot more that can be done with the templating system. See the docs for details.