By default, every activity you add will count towards all matching challenges you have joined. Based on individual challenge settings not all activities will qualify for each challenge but in theory it could. This behaviour is sometimes called 'double dipping'.
Automatic connecting based on activity date
The easiest way to control for each activity to which event(s) it should count, is to configure an event filter based on the activity date.
For instance, when you participate in Event A and then start on March 1 with Event B you want all your activities until March 1 to count (only for) Event A and all activities after March 1 to count (only for) Event B.
You can configure this by configuring an event filter on the Personalize Event page for both Event A and Event B. You should to this in such a way that activities with a start date until March 1 go to Event A and activities after March 1 to Event B.
Open the Personalize Event page and then click Configure in the Activity Filtering section to set your dates.
Manually connecting
If you, however, want to decide yourself for each activity where you want it to count towards you can simply enable this setting in your profile. Click Edit Profile and disable the Automatically post results to all your events option. Then click Save to store your new settings.
Please note that after disabling this option you need to assign each activity manually to the events you want it to count towards. You can do this by clicking Connect on the activity details page.