There is limit on how many links you can place on a sitemap. If you have a big site with too many pages you probably not gonna be able to put all the links on your single sitemap.

To overcome this problem you can put your urls on multiple sitemaps. One of those sitemaps would be your main sitemap. Put the urls of other sitemaps to the main sitemap. You only submit the main sitemap to Google. Thats it.