A typical website consists of one index.html file and a bunch of javascript and css files. To improve the performance of the website, one can:
You can have a single CSS for all your pages and since it will be cached, the subsequent pages will refer it from cache without sending extra request.
However, putting all Javascript files is into one is contextual. Most probably you might be using libraries like jQuery, and relevant plugins. This 'might' throw conflicting issues between plugins. So, before you try it all at once, try merging few files at once and checking if the error pops or not.