The first thing you have to ask yourself is, "When are the other files loaded?" The classical approach is to have simple levels and load the next one at the end of the previous one. This is the typical scenario for a platform game.
Another approach is to have one big level and load a sublevel when you reach a given point. Typically, in an RPG the big level would be the outside world and the sublevel would be the inside of buildings. In both of these examples, the loading of the file doesn't need to be done asynchronously.
The last common approach is to have a single very large level made of many sublevels. This is typically what you have for MMORPG. Here you need to load the files asynchronously so that the player doesn't notice that the sublevel has to be loaded.
The challenge you will face depends greatly on which of the aforementioned situations you find yourself in. They can be divided as follows: loading a tile map, a sprite, and loading a logic behavior...