Usually if you write an application, you should only include header files which are really needed in cpp files. If you got a really big application, you should use forward declaration in the header and include necessary files in the cpp file. With that, changes in code only affects a minimum on cpp files, so the compiler had only to compile what really has changed.
The situation can totally flip, when it comes to libraries or code which does not change very often. The filename "Precompiled.h" is already a hint. The compiler can precompile the headers to a special object file, often called PCH file. With that, the compiler has not to resolve every include on every compile time. On heavy nested includes, this has high impact on compile speed, because instead of many files to load and parse, there is only one preparsed file. To archive that you have to declare one or more headers as a kind of center file for building a precompiled header. How you do that differs between different compilers.
For example Visual studio uses the header file "stdafx.h" as the center of the precompilation of header files. Because of that, only header files should include there which are not altered very often. Also the file had to be included first in every cpp file. That is because the compiler can not detect any more if a include file which is included before may have influence to the precompiled file. To avoid that, includes before the precompiled includes are not allowed.
Back to your question. Including every file in one header file to use it as precompiled header makes no sense at all, as it conteract the meaning of a precompiled header file.