John Mueller of Google answered a question on why you may want to split up your XML Sitemap files in a Google+ hangout Friday morning. He answered it at the 16:05 mark into the video, basically saying it doesn't help with indexing or ranking to split up the file but it may help SEOs and webmasters with debugging and analytics.
Here is the video embed:
The question was:
Hi John, is there any advantage of having multiple sitemaps instead of one single file, e.g. separate them per category level, a single one for products or another one for just images?
In practice, it is really up to you - whatever works best for you.
I like the split up the sitemap file because in Search Console you can look at the index stats by sitemap file. And that sometimes makes it a little bit easier to understand. What types of pages are currently being indexed and what pages aren't being indexed. So you don't see the specific URLs. But you see from the category pages, I have 90% in indexed. From the product detail pages, I have 70% indexed. And that might be more useful information than if you just see overall I have 72% of my pages indexed. Because that way, you have a little bit more granular information.
So I kind of like splitting things up. But in practice, from a technical point of view on our site, our systems handle both small sitemap files and big sitemap files in the same way. We can process them really quickly. So it's not that you'd have any technical advantage by doing that.
Forum discussion at Google+.