how to add 20 or more sensors

I am having 20 different sensors so how wire these sensors to the Arduino mega.. if i attach all these sensors to a single board then it will get overheated and might get burnt out also..moreover, sensors require more voltage than 5v, how to provide more voltage to it.. what to do?

Well it all depends on the current requirements of the particular sensors. Adding external 5V (or other voltage)
regulator(s) is a common way to increase the power available to sensors/perpherals. Ground would be commoned.

Typically the on-board regulator would shutdown if it overheated, but its best not to put this to the test and
play safe, measure/calculate the current needed and provide it.

Analog output sensors are best run from the Arduino's 5V if possible as that's the normal reference
voltage for analogRead() - many analog sensors are ratiometric which makes this the most accurate

Be careful if using sensors which use higher voltages - don't let higher voltages reach the Arduino pins,
that will damage or destroy the Arduino chip.