You need what's called "solid compression", meaning that the files are concatenated together before compression. Because otherwise compression restarts from zero for each new file - https://en.wikipedia.org/wiki/Solid_compression

Some compressors have options for solid compression, or you can use tar to first concatenate the files. For both, you need to sort the files first, so that they are compressed in chronological order, otherwise the common information will drop out of the dictionary.

And how big is one file and how much RAM you have? Because you might need increasing the "dictionary size" of the compression algorithm, both 7zip and zstd support multi-gigabyte sizes.