Xenogears, Xenosaga series, and Xenoblade series are each their own universe that have recurring themes, and are tangibly connected due to a recurring artifact called a conduit. This basically means stuff like multiverse theory, alternative dimensions etc. That's my understanding anyway.
This was retconned iirc. The original xenosaga was intended to be a 6 game thing that leads up to the start of xenogears but it was cancelled halfway through so they changed the story. It might be better to think of it like Final Fantasy where there's some shared cosmology but they're all fundamentally different games with no crossover... Dissidia notwithstanding.
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It says right here in Matthew 16:4 "Jesus doth not need a giant Mecha." https://i.imgur.com/dQgC4kv.jpg