No, there are electronic lockers and air lockes. Both need to be switched on and off. An air locker will work off of compressed air (air tank) that you have on board. You'll run hose to the locker to engage/disengage it.

An electronic locker does the same thing but through a circuit and powered off your battery ultimately.

What 'engages' automatically is your limited slip differential. When one wheel starts to slip the clutch disks engage and that way the power is trasferred to the other wheel but sort of creating friction, basically, that would not let one wheel sping w/o the other. In theory that's pretty much how it works (in a nut shell) but in reality the Xterra's limited slip is pretty weak (at least on the older models).