Extrude more than one object

Hello,
I import osm file and I try to extrude the buildings but I see that:
If I import all the city as a single mesh I can select all th buildings and extrude all the faces in the same moment.
If during the import phase I don’t check the “as a single mesh” I’m not able to select all the faces of all the buildings. So I’m not able to extrude the all city.

So my first question is, is it possible to extrude faces of different object at the same time (A-KEY, E-KEY doesn’t work!)?

I need to import this city in a unity project, if I use the single mesh which problem I could have? (Example: I will do a thing with a building and another with another building, with different script, is it possible? or unity see all the city as a single object?)

Thanks a lot!

So my first question is, is it possible to extrude faces of different object at the same time (A-KEY, E-KEY doesn’t work!)?
Only one object can be in edit mode. You would have top join separate objects in one (Ctrl+J)