Can you load files into Blender Game Engine?

I would like to know if can load other files into Game Engine. What I mean is, if I design the player and the stage in two different files, can I put the two files together?

You can Link or Append any Blender object.

If you mean load an object from another .blend into game in real-time, you need to work with dynamic loading and freeing.

http://www.blender.org/documentation/blender_python_api_2_63_17/bge.logic.html

You can find the API for there.

And to do this, you select “Link” or “Append” from the File menu. Linking means that the object data is still resident in the source blend file (so you can’t change the game object in your destination blend file, but rather can do so in the source blend file), and Appending means that the object data is made local to the destination blend file (so you can edit an appended mesh in your game, for example).

Sorry, I think you misunderstood me, what I met to ask was Can you design the player and stage on two different files and load the player to the stage once the game has started.

While the game is running, in particular? Yes, you can do this with the LibLoad Python function, as Linkxgl points out above.