It seems tot be recommended to use the OData-transfer via Data Hub for Mendix to Mendix apps, and the REST-calls from Mendix to other or other to Mendix.
Data Hub External Entities are based on OData contracts, meaning you can use them also for non-Mendix sources. You can either use the Data Hub Catalog to register your sources or directly import the metadata in Studio Pro (if you are not planning to re-use it).
As Bart already mentioned, for communication that is not based on OData we recommend wrapping the source with an OData interface. You can do that either with another Mendix app or any other technology that allows for that kind of wrapping.
Do you have a specific system in mind that you wanted to integrate?