I have a multi-client website, each brand/client name is under the same domain, for example:
example.com/addidas, and so on...
Should I have a separate sitemap for each brand/client for SEO?
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In general, you want to have one sitemap for a domain or subdomain. (Though most sitemap generators will now break up the single sitemap file into multiple files for pages, posts, etc.)
In your case, each client has a subdirectory, not a subdomain. So a sitemap for all of these subdirectories, even if they have child pages, would most likely be overkill.
As Dan mentioned above, sitemaps have generally been depreciated in importance; some may argue otherwise, but modern search engines will indeed find all of your content just fine if you don't noindex or gate something on the way to deeper indexable content.
Sitemaps are now mostly suggestions to search engines about what the most important or most recently updated pages are. They're increasingly nice-to-haves, so don't burden yourself with maintaining multiple sitemaps for a single domain.
Here's a great article on the subject. Sums it up quite well: