There are several ways for you to fetch the external projects you depend on. For instance, you could add them as a Conan dependency, use CMake's find_package to look for a version provided by the OS or installed in another way, or fetch and compile the dependency yourself.
The key message of this section is: if you can, you should use Conan. This way, you'll end up using one version of the dependency that matches your project's and its dependencies' requirements.
If you're aiming to support multiple platforms, or even multiple versions of the same distribution, using Conan or compiling everything yourself are the ways to go. This way, you'll use the same dependency version regardless of the OS you compile on.
Let's discuss a few ways of grabbing your dependencies offered by CMake itself, and then jump to using the multi-platform package manager named Conan.