Yes, it is. Just define a suitable theorem style:
\documentclass{article}
\usepackage{amsthm}
\usepackage[colorlinks]{hyperref}
\newtheoremstyle{linked}
{}% Space above, empty = `usual value'
{}% Space below
{\itshape}% Body font
{}% Indent amount (empty = no indent, \parindent = para indent)
{\bfseries}% Thm head font
{.}% Punctuation after thm head
{ }% Space after thm head: " " = normal interword space;
% \newline = linebreak
{\href{run:\thislink}{\thmname{#1} \thmnumber{#2}}\thmnote{ (#3)}}% Thm head spec
\newtheorem{thm}{Theorem}[section] % normal theorems
\theoremstyle{linked}
\newtheorem{innlinkthm}[thm]{Theorem} % theorems with link
\newenvironment{linkthm}[1]
{\def\thislink{#1}\innlinkthm}
{\endinnlinkthm}
\begin{document}
\section{Theorems}
\begin{thm}
This is a normal theorem.
\end{thm}
\begin{linkthm}{./somefile.pdf}
This has a link.
\end{linkthm}
\begin{linkthm}{./somefile.pdf}[Attribution]
This has the same link.
\end{linkthm}
\end{document}

xr("eXternal References) package? – Mico May 19 '13 at 13:01