Note: Does not apply to SharePoint Online/O365 modern experiences. Only applies to classic experiences and SharePoint Server/on-prem.
In modern experiences, SharePoint allows convenient addition of links to documents stored outside the current library. However, on-prem and classic experiences are a bit different. Basically, we have to permit the “link to document” content type in the library first.
Allow shortcuts to documents
1. Go to Library > Library Settings
2. Choose Advanced settings
3. Set Allow management of content types to Yes.
4. Click OK to save changes.
5. Under Content Types choose Add from existing site content types
6. Select Link to a Document and Add >.
7. Click OK.
Test the new option
Now, back in your document library, your New button will have the Link to a Document option available.
Once selected, you’ll enter a name for the shortcut (can be different from the document’s actual name) and its URL.
Voila! Insta-link to documents stored elsewhere.