Switching between last active windows on a Mac

On Windows and Linux if I hit Alt-Tab it will bring forward the last active window of the application I was using.

If I try to do this on a Mac, Cmd+Tab brings forward all the windows of the application.

So if I have a PDF file on each side of the screen, or two Firefox windows, and I switch between the applications, I lose the application I had in the foreground.

Is there some way to disable this behavior and only bring forward the last active window of application instead of all of them?