The binary hard-sphere mixture is one of the simplest representations of a many-body system with competing time and length scales. This model is relevant to fundamentally understand both the structural and dynamical properties of materials, such as metallic melts, colloids, polymers and bio-based composites. It also allows us to study how different scales influence the physical behavior of a multicomponent glass-forming liquid; a question that still awaits a unified description. In this contribution, we report on distinct dynamical arrest transitions in highly asymmetric binary colloidal mixtures, namely, a single glass of big particles, in which the small species remains ergodic, and a double glass with the simultaneous arrest of both components. When the mixture approaches any glass transition, the relaxation of the collective dynamics of both species becomes coupled. In the single glass domain, spatial modulations occur due to the structure of the large spheres, a feature not observed in the two-glass domain. The relaxation of the self dynamics of small and large particles, in contrast, become decoupled at the boundaries of both transitions; the large species always displays dynamical arrest, whereas the small ones appear arrested only in the double glass. Thus, in order to obtain a complete picture of the distinct glassy states, one needs to take into account the dynamics of both species.