Load binary .mx files from list of paths?

Question

I have several .mx files containing data saved to disk via DumpSave. I load a list of these files in my folder as

SetDirectory[NotebookDirectory[]];
files = FileNames[All, ".\\data", Infinity];

Now I was trying to load them via

<< files[[1]]

or

<< ToExpression[files[[1]]]

or even

<< Evaluate[ToExpression[files[[1]]]]

none of which have worked. How can I load an .mx file using a string of its path?