I want to create a design system and my own components in XD. Whenever I make changes in the components it should get reflected in all the instances of the component (all the files the components are used). Also, when I share this file and someone is using these components, changes have to occur in their files too.
Thank you for reaching out and definitely a nice idea of creating a master design system library. In addition to what our expert Chris has advised, I would like you to check this article: https://helpx.adobe.com/in/xd/help/work-with-components-xd.html#edit-main-component wherein it shows how you can change instances of the main components.
Also, while coediting if you make any changes in your design system, it will be visible on other team member screens or they will get the pop-...
Take a look at the Creative Cloud Library features in XD. I think you will find what you are looking for. I would also suggest looking at the Design System Package workflow as well. It could also aid your developers in their workflows.