You can link issues to other issues within your Jira instance as long as you have "Link issues" permission.
Linking issues from Service Desk to Software or Business projects is doable as well.
If you have the necessary permission in place, you can find "Link issues" button right beneath the issue summary.
If you're running Jira onpremise instead, then you can find "Link" option from "More" menu which is found in the same toolbar as workflow transition buttons.
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