If connecting different parts, different components or just completely separated systems together: you always need some kind of connection. Building a solid connection is often what is most crucial and what takes the most effort in a project.
Since each project is individual and has different sub-components and requirements, it is impossible to give a one-suits-all advice, but here are a list of possible connectors you can use.
Connections, especially wireless ones, are often prone to failure or dropouts. When possible, physical connections are therefor advisable.
Sometimes it isn't possible to physically wire components together, for instance when the object has to move around freely while still communicating to other elements of the prototype. Luckily there are a variety of different methods and protocols that you can use to create this connection wirelessly.
Connecting Arduino nano 33IOT to the TUVisitor
Connecting two Arduino to each other via MQTT using Shiftr.io
Connect your arduino to max via mqtt