Another choice if you don't mind the "middle man" is to bring over your DAW.
Using Ableton Live you can control not only multiple instruments via MIDI messages, but also the multiple voices of a single instrument (e.g. the Roland Juno DS has 8 voices you can manipulate in individual MIDI channels, the Elektron Digitone has 4, etc.).
Good things to have at hand:
- MIDI Cables (long and short)
- A MIDI thru hub if some of your devices don't have MIDI Through -I like the MIDI Solutions Quadra-, works great with a BeatStep Pro as well
The possibilities are endless!