I usually use something like \boldsymbol\sigma to obtain bold greek letters, which only requires \usepackage{amsmath}.
This doesn't seem to work when using XeLatex and Tex Gyre Pagella, as shown in the following MWE:
\documentclass{article}
\usepackage{amsmath}
\usepackage{unicode-math}
\usepackage{parskip}
\defaultfontfeatures{Scale=MatchLowercase}
\setmainfont{TeX Gyre Pagella}[Scale = 1.0]
\setmathfont{Asana Math}
\begin{document}
$\sigma\boldsymbol{\sigma}$
\end{document}
This gives two identical sigma symbols, while removing the block changing the font makes boldsymbol work as intended again.
Is there a way to use bold greek symbols with this font?

\bm? – Bernard Oct 13 '19 at 23:04\pbminstead of\boldsymbolthough. Can I just safely use\renewcommand{\boldsymbol}{\pmb}for backward compatibility of documents that used theboldsymbolsyntax? – glS Oct 13 '19 at 23:09\pmbcreates bitmaps. Why not use\mathbf? – Bernard Oct 13 '19 at 23:12mathbfsupposed to work on greek symbols? I doesn't work for me (it produces nothing). Using\bm\sigmaalso produces weird output (a bold $0$ instead of the sigma) – glS Oct 13 '19 at 23:16Asana Mathline or not – glS Oct 13 '19 at 23:35\symbf{\sigma}. If it is intended to be text, it should use\mathbf, but\sigmaisn't a text-thing, so not what you want here. – cfr Oct 14 '19 at 00:09