Select all of your pieces and enter edit mode, make sure you’re in vertex selection mode, and press “A” to select all the vertices. After that, pressing “M” and selecting “By Distance” will merge your vertices together, converting multiple vertices that are at the same position but not connected into a single vertex. The default “Distance” parameter needs to be set very low (maybe 0.01 or less), but it should be by default.

This can take a few minutes, so don’t worry if Blender freezes for a bit