Merge multiple excels with multiple sheets in a master excel with multiple sheets

yes
What if the master workbook already has values in lets say SheetA. Do you want to delete thais data before importing or appending it?

Here you Go:
This one will delete the old data every time you run the macro
I added some hints so you can know how it works

Option Explicit
Option Base 1

Sub CollectWorkbooks()

Dim varFiles As Variant
varFiles = Application.GetOpenFilename("Excel-files,*.xls; *.xlsx; *.xlsm", _
    1, "Select Workbooks to Collect", , True)
'checking if no files were selected
On Error Resume Next
If UBound(varFiles) = 0 Then
End If
If Err.Number = 13 Then Exit Sub
On Error GoTo 0
Application.ScreenUpdating = False
Application.DisplayAlerts = False

Dim n As Long, r As Long
Dim f As Integer, s As Integer
Dim wbSource As Workbook, wbMaster As Workbook
Dim shSource As Worksheet, shDest As Worksheet
Dim chkFIRST As Boolean

Set wbMaster = ThisWorkbook
'deleteing old sheets from the master file except the first one
Do While wbMaster.Sheets.Count > 1
    wbMaster.ActiveSheet.Delete
Loop
'deleting records from the first sheet
Set shDest = ThisWorkbook.Worksheets(1)
r = shDest.Cells.SpecialCells(xlCellTypeLastCell).Row
shDest.Range(1 & ":" & r).ClearContents

'opening each file and importing the data
chkFIRST = True
For f = 1 To UBound(varFiles)
    Set wbSource = Workbooks.Open(varFiles(f), ReadOnly:=True)
    For Each shSource In wbSource.Worksheets
        
        'renaming the first sheet in the master file to the name of the first sheet in the first source file
        If chkFIRST = True Then
            shDest.Name = shSource.Name
            chkFIRST = False
        End If
        'getting the same sheet in the master file if it exists
        Set shDest = Nothing
        On Error Resume Next
        Set shDest = wbMaster.Worksheets(shSource.Name)
        r = shDest.Cells.SpecialCells(xlCellTypeLastCell).Row
        On Error GoTo 0
        'if the sheet doesnt exist then create it
        If shDest Is Nothing Then
            Err.Clear
            Set shDest = wbMaster.Worksheets.Add(after:=wbMaster.Worksheets(wbMaster.Worksheets.Count))
            shDest.Name = shSource.Name
            r = 1
        End If
        'adding the records
        r = r + 1
        n = shSource.Cells.SpecialCells(xlCellTypeLastCell).Row
        s = shSource.Cells.SpecialCells(xlCellTypeLastCell).Column
        shSource.Range(shSource.Cells(2, 1).Address & ":" & shSource.Cells(n, s).Address).Copy _
        Destination:=shDest.Range(shDest.Cells(r, 1).Address & ":" & shDest.Cells(r + n, s).Address)
    Next
    wbSource.Close
Next
Application.ScreenUpdating = True
Application.DisplayAlerts = True
End Sub

This one will append the new data to the existing

Option Explicit
Option Base 1

Sub CollectWorkbooks()

Dim varFiles As Variant
varFiles = Application.GetOpenFilename("Excel-files,*.xls; *.xlsx; *.xlsm", _
    1, "Select Workbooks to Collect", , True)
'exiting if no files were selected
On Error Resume Next
If UBound(varFiles) = 0 Then
End If
If Err.Number = 13 Then Exit Sub
On Error GoTo 0
Application.ScreenUpdating = False
Application.DisplayAlerts = False
Dim n As Long, r As Long
Dim f As Integer, s As Integer

Dim wbSource As Workbook, wbMaster As Workbook
Dim shSource As Worksheet, shDest As Worksheet
Set wbMaster = ThisWorkbook


'opening each file and importing the data
For f = 1 To UBound(varFiles)
    Set wbSource = Workbooks.Open(varFiles(f), ReadOnly:=True)
    For Each shSource In wbSource.Worksheets
        'getting the same sheet in the master file if it exists
        Set shDest = Nothing
        On Error Resume Next
        Set shDest = wbMaster.Worksheets(shSource.Name)
        r = shDest.Cells.SpecialCells(xlCellTypeLastCell).Row
        On Error GoTo 0
        'if the sheet doesnt exist then create it
        If shDest Is Nothing Then
            Err.Clear
            Set shDest = wbMaster.Worksheets.Add(after:=wbMaster.Worksheets(wbMaster.Worksheets.Count))
            shDest.Name = shSource.Name
            r = 1
        End If
        'adding the records
        r = r + 1
        n = shSource.Cells.SpecialCells(xlCellTypeLastCell).Row
        s = shSource.Cells.SpecialCells(xlCellTypeLastCell).Column
        shSource.Range(shSource.Cells(2, 1).Address & ":" & shSource.Cells(n, s).Address).Copy _
        Destination:=shDest.Range(shDest.Cells(r, 1).Address & ":" & shDest.Cells(r + n, s).Address)
        
    Next
    wbSource.Close

Next
Application.ScreenUpdating = True
Application.DisplayAlerts = True
End Sub