You can open multiple drawings and attach multiple xrefs at once in AutoCAD, providing that you have enough memory and your machine is powerful enough to handle all the files.
Here is how to do that: In the Open File dialogue box, simply hold down the SHIFT button on your keyboard and select the first and the last files from the list of drawings that you need to open. Hit Open. If you need to open multiple files, but they are not in sequence, use the CTRL button instead of SHIFT.
The above procedure works also with your Windows Explorer, just hit ENTER instead of OPEN.