I have a table like this:
A B C D E F G H I
10 23998 16755 27656 17659 19708 20328 19377 18925
20 37298 33368 53936 41421 44548 40756 40985 37294
You could also use a gnuplot toolkit such as this one for Python if you want have a lot of data to plot and you want to automate the extraction of the titles.
set key autotitle columnhead
plot for [n=2:12] 'vv.csv' u 1:(column(n)) w lines title columnhead(n)
I checked the documentation and I don't see a way to do it automatically, but you can manually set a title with
plot "file.txt" using 1:2 title "A" with lines smooth bezier ...
I once wrote a script to plot FM radio station frequencies along an axis from 87MHz to 108MHz, using the names of each radio station as vertical labels. This was not a pure gnuplot solution, the input file is processed with perl with make, but I suggest you have a look at it and see if you can use something like that.