They would also be .deb files. If you wanted to install package A.deb that depended on B.deb and C.deb, with C.deb itself depending on D.deb and E.deb, you would work down the dependency tree to figure that out, obtaining the .deb file for each package as you went, then run dpkg install E.deb, dpkg install D.deb, dpkg install C.deb, dpkg install B.deb, and finally dpkg install A.deb in that order.

This is what apt is designed to do for you, automatically.