See : http://www.sthda.com/english/wiki/cox-proportional-hazards-model

and

https://www.amazon.com/Everyone-Advanced-Analytics-Graphics-Addison-Wesley/dp/013454692X/ref=cm_cr_arp_d_pb_opt?ie=UTF8

The second has R code for doing the plots

Best, D. Booth

For fixed categorical covariates, such as a group membership indicator, Kaplan-Meier estimates (1958) can be used to display the curves. For time-dependent covariates this method may not be adequate. But, Simon and Makuch (1984) proposed a technique that evaluates the covariate status of the individuals remaining at risk at each event time.

Check these two:

https://cran.r-project.org/web/packages/survival/vignettes/timedep.pdf

https://stats.stackexchange.com/questions/46754/visualize-survival-analysis-with-time-dependent-covariates

If you believe there is time-varying confounding, it is better to use some advanced methods such as the marginal structural Cox model compared to the time-dependent Cox model. Here is an example: https://academic.oup.com/aje/article/180/2/160/2739160