Neural surrogate models are powerful and efficient tools in data mining. Meanwhile, large language models (LLMs) have demonstrated remarkable capabilities in code-related tasks, such as generation and understanding. However, an equally important yet underexplored question is whether LLMs can serve as surrogate models for code execution prediction. To systematically investigate it, we introduce SURGE, a comprehensive benchmark with 1160 problems covering 8 key aspects: multi-language programming tasks, competition-level programming problems, repository-level code analysis, high-cost scientific computing, time-complexity-intensive algorithms, buggy code analysis, programs dependent on specific compilers or execution environments, and formal mathematical proof verification. Through extensive analysis of 21 open-source and proprietary LLMs, we examine scaling laws, data efficiency, and predictive accuracy. Our findings reveal important insights about the feasibility of LLMs as efficient surrogates for computational processes. The benchmark and evaluation framework are available at https://github.com/Imbernoulli/SURGE.