Using the xr package and - missing aux file? "Warning: No file SupplementalMaterial.aux LABELS NOT IMPORTED"

I’m using Overleaf to write a paper with supplementary material and have been having substantial trouble with separating out Supplemental Material while maintaining references. My MWE is as follows – in Main.tex:

documentclass{article}

usepackage[hidelinks]{hyperref}
usepackage{xr}
externaldocument{SupplementalMaterial}

begin{document}

This is text
begin{equation} label{eqn}
1+1=2
end{equation}
Look at Eq.~(ref{suppeqn})

end{document}

In SupplementalMaterial.tex:

documentclass{article}

usepackage[hidelinks]{hyperref}

usepackage{xr}

externaldocument{Main}

begin{document}

This is text
begin{equation} label{eqn}
1+1=2
end{equation}
Look at Eq.~(ref{suppeqn})

end{document}

When I try to compile Main.tex, I get “Warning: No file SupplementalMaterial.aux LABELS NOT IMPORTED” and of course no references properly refer back to their labels. I’ve tried to find a solution online but frankly have not found an explanation as to where the aux file is supposed to come from, or what exactly it is. I think it’s an auxiliary file used to hold information from the “first pass” for documents that take multiple iterations to compile.

How can I get my references to appear properly?

EDIT: Overleaf requires a special set-up to use xr, as detailed here. I was able to use the example linked in that page and port it to another documentclass for my specific uses without much trouble. I will leave this as an update, not an answer, because I do not yet understand why Overleaf requires this approach.

myexternaldocument{./file_to_reference}