you can find the solution PX4 docs on Multi-Vehicle Sim in gazebo simulation section.
if you are running multi-agent you will need to set up an unique instance for each drone, try to set up two different instance
PX4_GZ_STANDALONE=1 PX4_SYS_AUTOSTART=4001 PX4_SIM_MODEL=gz_x500_depth
PX4_GZ_WORLD=walls ./build/px4_sitl_default/bin/px4 -i 1
PX4_GZ_STANDALONE=1 PX4_SYS_AUTOSTART=4001 PX4_SIM_MODEL=gz_x500_depth
PX4_GZ_WORLD=walls ./build/px4_sitl_default/bin/px4 -i 2