SQL Server allows you to join tables from different databases as long as those databases are on the same server. The join syntax is the same; the only difference is that you must fully specify table names.
Let's suppose you have two databases on the same server - Db1 and Db2. Db1 has a table called Clients with a column ClientId and Db2 has a table called Messages with a column ClientId (let's leave asside why those tables are in different databases).
Now, to perform a join on the above-mentioned tables you will be using this query:
select *
from Db1.dbo.Clients c
join Db2.dbo.Messages m on c.ClientId = m.ClientId