there don’t seem to be many plugins available for you. at least not free ones. if you can afford the 11 bucks, you can try:

https://codecanyon.net/item/remote-upload-wordpress-plugin/3159604

the free “external media upload” (https://www.ads-software.com/plugins/external-media-upload/) has been discontinued.

i have also found a very old plugin, but maybe it still works and does the job: https://github.com/arshidkv12/remote-upload-wordpress-plugin

if you have ftp access to the other files, there may be more options for you by transferring the other domain’s media to your server first (via ftp) and place them inside your /uploads:

https://www.wpbeginner.com/plugins/how-to-bulk-upload-wordpress-media-files-using-ftp/

hope, it helps.

—
Adrian Keller
Kellerprojekte
internet-wechseln.de