Your issue is certainly that the designer of your model left clearances between the parts to ensure that they would fit together. This is proper and correct, because otherwise you'd never be able to physically assemble the parts here in physical reality. Some amount of tolerance is required since no printer is 100% accurate, and a total interference fit would not work with most materials anyway. The problem is, when printing as a single unitary piece that's not what you need anymore.

You'll have to modify the models to close these gaps, or just insert your own solid object in between them to take up the gaps and then export the whole assemblage as a single object.

Most slicers can do this, although typically the objects they can create out of thin air are only geometric primitives (cubes, spheres, cylinders, etc.) so you might not be able to create the right sized object or otherwise you'll have to use a whole dickton of them.

To avoid the gaps you can line them up with an overlap.

You can adjust the vertices of the model slightly to help facilitate this. The most natural-feeling way to do it in Blender is by using the Sculpt mode.

You can use a Boolean addition operation to then make the two models a single piece of geometry. Or not bother (if you are printing on FDM or at 100% infill in resin, it won't really hurt either way).