@Himal If your files are all of the same naming structure and schema, you do not need a macro. You can use the input tool with a wildcard. The example below would find all excel files in the folder that begin with "File". Note that the sheet name for every file must also be the same.
If the file names are different, then you would need to use a directory tool to gather a list of all your files.
You would then pair this with the dynamic input tool in order to bring in your files. In this situation, the schema must also match. Since you are using excel files, you would also need to include the sheet name in your file path by including a formula tool. Alteryx needs to know which sheet in the excel workbook to reference in the input.
If things differ further than that, then you would need a batch macro, which I can detail out if these solutions do not meet your needs.