Multiple rows can be inserted with a single insert command:
INSERT INTO tbl_name (field1, field2, field3)
`VALUES
(1,2,3),
(4,5,6),
(7,8,9);`
For inserting large quantities of data (bulk insert) at the same time, DBMS-specific features and recommendations exist.
MySQL - LOAD DATA INFILE
MSSQL - BULK INSERT