We can move more apps to our created folders to keep order on the Xiaomi smartphone or start screen, we can select multiple apps, which will be moved to one folder

Note: The method of holding down an app and dragging it into the folder still works, but is inconvenient if you want to move multiple apps.

It is possible to select multiple apps on different home screens.

Android 10 (MIUI 12.0)
Step 1:  Tap and hold an  app icon
Step 2:  Drag the  app icon  onto a folder
Step 3:  Release the  app icon
  1. Tap and hold an app icon
  2. Drag the app icon onto a folder
  3. Release the app icon

Xiaomi Instructions