microcontroller shared power supply
Yes this is perfectly fine, and in fact the normal. However a few considerations.
Most important. Because you are powering all your devices off a 5V line, and the ESP32 is a 3.3V device this means they can not safely talk to each other in most cases without a level line converter. Most 5V powered modules have 5V logic levels and if you feed this into a 3.3V ESP32 you are going to fry it. So make sure your logic levels are appropriate.
Also important, make sure the power supply is regulated. That is, it provides the correct voltage and is well regulated. Often an external power supply may be a "dirty" power supply and expects on-board regulation. This also has the advantage of allowing you to connect a different power supply with a different voltage without frying everything. So consider if you want an on-board LDO regulator to regulate your power supply voltage.
Make sure your power supply can deliver the proper voltage, current, and power. If not use a supply that can.
Most power supplies have a large "Tank" capacitor to eliminate ripple. More power draw means you need a bigger capacitor, pick one appropriately. The tank should be on your own PCB, the closer to the circuit the better.
Regardless of the capacitor used in point #4 there must be additional bypass/decoupling capacitors across the power terminals of each of the ICs in your circuit.
If you are going to use a well regulated external supply and not include an on board voltage regular, that is fine but make sure you have the tank capacitor mentioned in point #4 and also consider adding over-voltage protection in the event someone hooks up the wrong external power supply with either reverse voltage or a higher voltage than expected.
One note of warning, when you said you normally power devices off your microcontroller I hope you meant the +3.3V pin on an ESP32 board (that would be fine) and not from the logic output pins of the \$\mu C\$ itself. The logic output pins arent really intended to deliver much power and you can easily overload the microcontroller by doing this.
With that said powering off the +3.3V line of an ESP32 main board would make more sense, usually, than powering off the external power supply itself just because it is going to be a regulated power supply so prevents you from needing to add another regulator. Though if the ESP32 cant provide the power you need then providing an additional external power supply is not an issue. Just make sure the ground pins of the ESP32 and the new external power supply are electrically connected as well if you do that.