I am experiencing the same problem with MikTeX 2.9 as I have with Overleaf, both using XeLaTeX. I need to use CAMBRIA.TTC fonts. The following example formats in both settings without bold and italics.
\documentclass{article}
\usepackage{fontspec}
\setmainfont[Ligatures=TeX]{CAMBRIA.TTC}
\begin{document}
\textsc{Small caps work,} but \textbf{boldface} and \textit{italics} do not work.
\end{document}

\setmainfont[Ligatures=TeX,BoldFont={CAMBRIAB.ttf},ItalicFont={CAMBRIAI.ttf}]{CAMBRIA.TTC}. Or use simply\setmainfont{Cambria}. – Ulrike Fischer Sep 10 '19 at 13:33