Salesforce supports 3 way to connect external system using Salesforce Connect
- oData 2.0 or oData 4.0
- Cross Org Adapter
- Custom Adapter using Apex Connector Framework
oData 2.0 or oData 4.0:
oData is Open Data Protocol. REST based integration. This is standard way to connect your external system if Salesforce supports or External system supports.
Cross Org Adapter:
Get data that stored in another salesforce org. Used Force.com REST API to integrate with another salesforce org.
Apex Connector Framework:
you need to build your own connector using Apex connector framework in Force.com platform.
Sathish SFDC 
Nice post. An interesting solution that helps produce odata for salesforce connect can be found here: https://www.progress.com/data-connectivity/odata-salesforce-lightning-connect .
Here is also a blog that outlines how to access external data from salesforce using OData: https://www.progress.com/blogs/lightning-fast-data-integration-with-salesforce
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