You’re following Alimayo Arango’s tutorial for making a mech, which is a good tutorial but isn’t designed with game workflow in mind.
Look up vertex grouping. Join all the object meshes into one mesh. Assign all the vertices that are currently separate objects into their own vertex groups, make the vertex group the same name as the bone you want controlling it. Apply Armature modifier to the one mesh.
That’s the basics of it.
I know this because I was in the same spot a few weeks ago. And he didn’t have any clue what I meant or how to get it working with one mesh. I posted what I had found out about vertex grouping to help any newcomers with the same issue I had, but he said it wouldn’t be useful to beginners (and I think he deleted the post lol).
Anyway, the tutorial was good and I learned a lot from it. I credit him for getting me started. He’s just very helicopter about comments on his videos for some reason.