ThereYou should start with a profiler. Having said that, there is one easy optimization you can make without a lot of code changes.
Change the following line in LoadSpriteSheets from
List<SpriteSheet> sheets = new List<SpriteSheet>();
to
List<SpriteSheet> sheets = new List<SpriteSheet>(tmxMap.Tilesets.Count);
The amount of elements in the list is known in advance so you can avoid the cost of repeatedly resizing the container.