Hello and welcome to Hinduism Stack Exchange 👋 The following is an Advaitin explanation.
Why do you watch movies with different main characters? If you play Sonic in one video game and Mario in another, are you Sonic, Mario, both, or neither?
This reality we experience is described as the līlā of Brahman. It is like a movie, play, or video game in which all of the roles, music, setting, and even audiences are Brahman.
y are like roles. The ātman, or soul, is the same ātman in all roles. It is only because they become so engrossed in the role that they believe themselves to be an individual identity.
- Now I shall explain to you separately the characteristics of the fundamental principles. By knowing these, man is liberated from the ties (guṇas) [qualities which bind] of Prakṛti [observable reality].
- I shall explain to you that knowledge which, as the wise say, cuts the knot of ahaṃkāra (egoism) in the heart, and leads man to self-realization, and ultimately to [liberation] (Mokṣa).
- Puruṣa [consciousness] is the beginningless (eternal) Soul. (He is) attributeless, distinct from and superior to Prakṛti. He manifests (himself) inside and is self-luminous. The universe, thereby, becomes illuminated.
- This all-pervading Lord, of his own free will, has accepted the subtle, divine Prakṛti constituted of three guṇas as a part of his līlā [play].
- He was here immediately infatuated with Prakṛti which covers (obscures) knowledge and which creates various wonderful beings similar in attributes (guṇas).
- In this way, due to his wrongly presumed identification with Prakṛti, Puruṣa regards the authorship of karmas [consequences of actions; causality] (as vested) in him when (actually) the karmas are being done by the guṇas of Prakṛti.
- Though the Lord is (really) actionless, an unconcerned witness and blissful by nature, it involves him in saṃsāra (cycle of births and deaths), bondage and reduces him to a stage of dependence.
- They (wise people) know that Prakṛti is the cause of the effect (i.e. the body assumed by Puruṣa in an embodied state), means (organs of senses) and the doership (the presiding deities of sense-organs). In reality, Puruṣa is distinct and beyond—superior to—Prākṛti; (but) he is the cause of all pleasures and pains as the experiencer, due to his identification with Prakṛti.
—Bhāgavata Purāṇa, Book 3, Chapter 26, 1-4. Parentheticals added by translator. Brackets added by me.
The Jñānin therefore, realises that all his activities are primarily of the Lord, and he then says, “I am not an independent worker, but the real agent is Hari.” When he realises this, he does not become an ativādi—does no longer say “I am the agent.” On the contrary, he now begins to see in the functioning of all his senses and organs, the play of the Lord, the Lilā of Hari, and thus he becomes Ātmakrīḍa, one who is absorbed in the contemplation of the graceful [play] of the Lord of all [play]. In his own body and in the universe, he sees the [play] of the Lord—as He creates, preserves and destroys it.
—Mundaka Upanishad, Mantra 3.1.4, Madhva’s Commentary (the Bhāṣya). Brackets added by me.
This Thine wondrously variegated Universe, full of Thy Līlā [play], consisting in variety, is the common ground of dispute of the imperfect intellects; who are not deluded here!
—Devī Bhāgavata Purāṇa, Chapter 5, between verses 32 & 37. Brackets added by me.
In these quotes I have changed the translation of līlā from "sport" to "play." In truth it means both, as well as "flirting" and other meanings. However, I think "play" is more broadly understandable in modern times (in the past play was considered a childish pastime, though this ignores ideas like "playing chess," "playing the piano," and "watching a play") and sport is a type of play.