Custom font (.otf) not being applied to headers and captions

Question

I am trying to use a custom font (.otf files) on a template document that I am building. I looked for different ways of doing so and am currently using the XeLatex compiler to create a new font family and I am trying to apply it to my entire document (that's my goal, not to just use it for a certain part, but the whole thing).

The code and output that I am getting are:

...

\usepackage{fontspec}
\newfontfamily\coolfont[Path=config/CoolFont/,
  Extension=.otf,
  UprightFont=*-Regular,
  ItalicFont=*-RegularItalic,
  BoldFont=*-Bold,
  BoldItalicFont=*-BoldItalic
]{CoolFont}
...

\begin{document}
\coolfont
    
...
\end{document}

My problem is that the section header and the figure caption are not in the font I selected (the body text looks good, correctly applying bold and italics as well). This also happens for page numbers, table captions, etc. I have also tried calling the \coolfont in the preamble, which just gave me an error and I tried using \setmainfont, but that didn't even change the body text font.

What is the best way to use custom font files to set a font for the whole document? (I am using Overleaf for this project)

Thank you so much for the help!

EDIT:

The following is my failed attempt at making it work with \setmainfont, while trying to leave most of the configuration I was already using in my document.

%  -----------------------------  PREAMBLE  -----------------------------
\documentclass[12pt]{article}

\usepackage[utf8]{inputenc}
\usepackage{hyperref}
\usepackage{epsfig, url}
\usepackage{epstopdf}
\usepackage{graphicx}
\usepackage{datetime}
\usepackage{multirow}
\usepackage{indentfirst}
\usepackage{amssymb}
\usepackage{geometry}
\geometry{a4paper}
\usepackage{tikz}
\usetikzlibrary{calc}
\usepackage{newtxtext}
\usepackage{float}
\usepackage{titling}
\usepackage{xcolor}

\usepackage{fontspec}
\usepackage{titlesec}

\setmainfont[Path=config/CoolFont/,
  Extension=.otf,
  UprightFont=*-Regular,
  ItalicFont=*-RegularItalic,
  BoldFont=*-Bold,
  BoldItalicFont=*-BoldItalic
]{CoolFont}

%  ------------------------- DOCUMENT START -------------------------
\begin{document}
\section{The quick brown fox jumps over the lazy dog}
\label{intro}

The quick brown fox jumps over the lazy dog. 0123456789
\textbf{The quick brown fox jumps over the lazy dog. 0123456789}
\textit{The quick brown fox jumps over the lazy dog. 0123456789}
\textit{\textbf{The quick brown fox jumps over the lazy dog. 0123456789}}

\begin{figure}[hbt!]
    \centering
    \includegraphics[scale=0.1, angle=0]{imagens/image.png}
    \caption{The quick brown fox jumps over the lazy dog}
    \label{fig:image}
\end{figure}

\end{document}

Answer 1

With guidance from a user in the comments I ended up solving the issue myself.

The problem lies in using the newtxtext package while at the same time attempting to use the command \setmainfont and loading a custom font with the fontspec package. I also tested if the problem persisted if I used \setmainfont with a non-custom font and it does. I can't be sure as to how newtxtext overwrites that setting, but the font is reverted back to default.

In short, from @MarcelKrüger:

If you don't change the main font family and only create a new family, everything which explicitly selects a font family will overwrite it.

which is why initially the font wasn't applied to the headers and captions. And secondly, \setmainfont will not work when importing the newtxtext package.