An external data source specifies how to access an external system. Salesforce Connect uses external data sources to access data that's stored outside your Salesforce organization. Files Connect uses external data sources to access third-party content systems. External data sources have associated external objects, which your users and the Lightning platform use to interact with the external data and content.
These are the types of data source salesforce supports
Files Connect: Google Drive
Files Connect: SharePoint 2010 or 2013
Files Connect: SharePoint Online or OneDrive for Business
These are the types of data source salesforce supports
https://support.salesforce.com/articleView?id=external_data_source_define.htm&type=5