This depends on the schema validator you are using.
One way is to reference a schema document that contains xs:includes or xs:imports for all the other schema documents.
But you may also be able to specify multiple schema documents directly. You can with Saxon, for example, by using configuration.addSchema().
Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference