Package bookmark also supports URI actions in bookmarks, which can be used to link to other files or URLs.
\documentclass{article}
\usepackage{hyperref}
\usepackage{bookmark}
\bookmarksetup{open,numbered}
\begin{document}
\section{Hello World}
\bookmark[
level=subsection,
uri={https://tex.stackexchange.com/},
]{URI: TeX.SX}
\end{document}
However, it depends on the PDF viewer, to what extend this is supported.
Open embedded files
Thanks to Max Wyss' comment, the example can be extended. A file example-image.png from package mwe is embedded and a bookmark is created, which saves the file to a temporary location and opens the file according to the PDF viewer and OS configuration. A security warning might be raised, before opening the file. The temporary file is deleted at AR's shutdown.
If parameter nLaunch is set to 0, then the file is saved only.
If the value is 1, then the file is saved and launched.
When the file is saved permanently, the user is asked for a location unless parameter cDIPath is set for a device-independent path absolute or relative to the current document.
See "JavaScript for Acrobat API Reference" for more details.
\documentclass{article}
\usepackage{hyperref}
\usepackage{bookmark}
\bookmarksetup{open,numbered}
\usepackage{embedfile}
\begin{document}
\section{Embedded example image}
\embedfile[
id={example-image},
desc={example image from package mwe},
]{example-image.png}
\bookmark[
level=subsection,
rawaction={%
/S/JavaScript/JS(%
this.exportDataObject({cName: "example-image.png", nLaunch: 2})%
)%
},
]{Embedded: example-image.png}
\bookmark[
level=subsection,
uri={https://tex.stackexchange.com/},
]{URI: TeX.SX}
\end{document}