save sketches and bitmaps on SD card

so, i was watching some where videos pleople achieved to create games like flappy bird clone, but all games are stored directly on arduino, if some one want to make something more complete like a zelda game ( the one of NES ) for example, i doubt it would be space on microcontroller, so there must be a possibility to use eprom, but i thing should be better to use mSD due the capacity it posses, so the question is, can i save sketches of the game in SD ( i thing i can save the assets there ) and how to execute that sketch or the program from SD?

thanks in advance.

can i save sketches of the game in SD

Sure can. What you can't do is use it for any purpose at run time. A LOT of stuff happens between you writing C++ code and the Arduino making something happen as a result. None of that happens on the Arduino.