I wrote a java code that generates XML files with the same stucture from
different databases.

Which would be the best way to show the information from these files
together?

Use the document() function:
 http://www.w3.org/TR/xslt#document
You can copy, apply templates, or whatever you want:
 <xsl:copy-of select="document('other.xml')/*"/>
 <xsl:apply-templates select="document('other.xml')/*"/>

If you generate the XML on the fly, check your
favorite XSLT processor whether it allows you
to hook in functionality to map URIs to some XML
source. For Java processors, write an URIResolver.