You can only merge feature classes (within a FGDB). There are many GP tools like Append or Merge.
There are other tools in ArcMap (like Load Data). It depend on the data you have but the GP tools are generally the nest.
If you want to combine multiple datasets into an existing dataset, try Append—Data Management toolbox | ArcGIS for Desktop .
If you want to create a new output dataset, try Merge—Data Management toolbox | ArcGIS for Desktop
Actually I have a topographical data set with 59 feature classes and 533 sub types. Its difficult to merge or append one by one feature class.
Is there any other tool which append whole data set once.,like in production mapping tools >data mapping.> Load Data. I don't have Defense mapping extension to create cross reference database file.
I had used Append tool to combine more than 50 features at one go, with condition that they all have a same schema.
I had kept SCHEMA_TYPE = TEST to check the schema match before appending. Also they should all have same geometry.