I am baffled when I see this common practice. But since web development is not my main area I don't know if it is bad practice, has real advantages or just doesn't matter.
For example I find this a lot:
<script src="https://ajax.googleapis.com/ajax/libs/jquery/3.5.1/jquery.min.js"></script>
<script src="https://aframe.io/releases/1.2.0/aframe.min.js"></script>
<script src="https://cdn.jsdelivr.net/gh/donmccurdy/aframe-extras@v6.1.1/dist/aframe-extras.min.js"></script>
<script src="https://rawgit.com/rdub80/aframe-gui/master/dist/aframe-gui.min.js"></script>
<link rel="stylesheet" href="https://unpkg.com/purecss@2.0.3/build/grids-responsive-min.css">
The advantage I see more often mentioned is caching. E.g. If a user navigates to a page that uses jquery it will not have to fetch it again for other website.
However I see this as introducing a lot of external dependencies to your site. Any one of those hosting sites/CDNs goes down or gets slow and your site gets down. I personally see this as a huge disadvantage, far outweighing the benefits of caching.
Another big problem I see is referencing master instead of a specific version. With any update on the remote site your site could become unusable.
When should I reference an external CDN and when should I download a local copy on the server?