You really need to just test on a piecemeal basis. It’s a matter of what works with what, and sometimes even the devs don’t know.
What I’ve found so far:
Lemmy uniquely grabs old posts from Lemmy, but most software is “here and now” so you won’t see a history if you go somewhere until your instance is following it.
Mastodon can see Lemmy communities and users and you can DM people on mastodon from lemmy, but you can’t follow Mastodon users on Lemmy because the paradigm is different.
Lotide communities can be followed and interacted with. I think the latest Lemmy has fixed federation in the other direction.
Friendica groups can be followed and interacted with. Users are the same as mastodon users
Peertube channels can be followed like communities and you can see, upvote, and comment on videos, but you can’t post anything new – your instance will let you, but it won’t federate.
Kbin communities can be followed, be aware that kbin is in its early days so it has a lot of work on the back-end.
I was not able to federate with a.gru.ppe communities.
Hopefully this helps, and maybe others can post their discoveries. Decentralization is strength on the fediverse. The more things we can connect to, the less reliant we are on any one thing.
To do a lot of these, you put the community, magazine, or channel url into Lemmy search. It takes longer than you expect but if it’s federating at all it’ll show up on the search, then you can go and subscribe.