How to collect multiple file from SFTP once and process further in the workflow.

Just define a folder or a wildcard for the path. (see https://experienceleague.adobe.com/docs/campaign-standard/using/managing-processes-and-data/data-management-activities/transfer-file.html?lang=en)

This will download all matching files and process them in the workflow.

Note: files will be processed "in parallel"; i.e. for each file it will walk through the activities.

And when processing file 1, you won't have access to any info of file 2 as that is in a "parallel path"