You can. It's not exactly the smoothest UI for it, but you need to open the community on your instance and then click follow. E.g. you're on lemmy.world so you want this URL:
https://lemmy.world/c/nfl@lemmy.ml
You can then click sidebar and follow just like you can with a community on your own instance.
The main potential problem would be if your instance has banned the other one for some reason or they've got issues with their federation.
Edit: and that actually might be the case. I'm not actually able to follow nfl@lemmy.ml either. Get a 404.
I should have updated this! I was able to figure it out - because I'm a lemmy.world user, you are correct: https://lemmy.world/c/nfl@lemmy.ml is the url I'd want to visit in order to subscribe