Why to use separate CSS files for components in React.js

I am new to Web Development and currently learning React.js. I learned about how to create Components in React and giving styles to them.

Is it like that if I create separate CSS files for React Components, the app will load faster because the browser has to load small sized CSS files instead of single big file?

I want to ask about how React loads the CSS files in the browser and whether I should use separate CSS files for React Components.