How to create join objects/subdivisions together in Edit Mode

I’ve made this object by making multiple extrusions from multiple subdivisions. Now when I try to use the Knife Project function to cut a hole in it using a circle I see they are still separate objects and my cut it’s getting multiple faces for each object it hits.

How can I join them all together so when I cut through I get a clean cut as a tunnel just as I’d cut through a solid object?

PS: Need this for 3d printing.

  1. Do the Knife Project, with cut-through.
  2. Delete the selected faces.
  3. select the partial loops on the top and bottom.
  4. Bridge edge loops.
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