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Setting cavalry on one control group, for instance, siege units on another, and wings of your army allow you to quickly change targets as well as execute multi-pronged engagements. If you throw your cavalry, siege units, and infantry together in one mass, they'll move slowly and negate a lot of their effectiveness. If you do just want to move your units in mass and aren't going to babysit them, I recommend attack-move (R) instead of moving, so your troops won't be defenceless while walking around if they run into an enemy. In general, you want to mass fire on the most dangerous enemy targets to quickly kill them. Micromanaging your units in the heat of combat will mean you take less damage and deal more damage, and will make every encounter easier. Likewise, setting your formation so weak troops are protected, or you're spaced out so siege units can't do as much damage, will help you to keep units alive. Stances allow you to, for example, set your troops patrolling an area or stay in a defensive posture where they will not mindlessly chase down enemies they see. Age of Empires II and the Definitive Edition give you great control over your units with stances and formations, so get familiar with them. Getting a giant death ball of units to steamroll enemies is a legitimate strategy, but sometimes you just can't muster a death ball of units in the campaign, and it's often not the most effective strategy that will lead to a lot of wasted effort and extra casualties. Beyond that, though, I have a few tips that will make going through this game a lot easier:

If you're an old hat, it'll mostly be stuff you already know, but if you're dipping your toes in to an RTS in general or AOE specifically, it's a pretty great way to introduce you to the basics. You're going to want to start off by playing the William Wallace tutorial campaign.