This method will refer values from another workbook to the current worksheet, and then apply the conditional formatting to the range in the current worksheet. Please do as follows:

1. Open both workbooks you will apply conditional formatting across, select a blank cell you will refer values from another workbook, says Cell G2, enter the formula ='[My List.xlsx]Sheet1'!A2  into it, and then drag the AutoFill Handle to the range as you need. See screenshot:

Note: In the formula, My List.xlsx is the workbook name with extension you will refer values from, Sheet1 is the worksheet name you will refer values from, and A2 is the first cell of the range you will refer from.

2. Select the range you will apply conditional formatting to, and click Home > Conditional Formatting > New Rule.

3. In the opening New Formatting Rule dialog box, please do as follows:
(1) In the Select a Rule Type section, click to highlight the Use a formula to determine which cells to format option;
(2) In the Format values where this formula is true box, please enter the formula =COUNTIF($H$2:$H$11,$B2)>0 ($H$2:$H$11 is the range you referred from another workbook in Step 1, $B2 is the first cell of range you will apply conditional formatting based on);
(3) Click the Format button.

4. In the popping up Format Cells dialog box, please specify the format as you need, and click the OK button.
In our case, we select a fill color under the Fill tab. See screenshot:

5. Click the OK button in the New Formatting Rule dialog box.

And then you will see the specified range is conditionally formatted based on the values from another workbook. See screenshot:

This method will introduce Kutools for Excel’s  Select Same & Different Cells utility to easily apply conditional formatting across worksheets or workbook easily as normal.

1. Open both workbooks you will apply conditional formatting across, and click Kutools > Select > Select Same & Different Cells. See screenshot:

2. In the opening Compare Ranges dialog box, please do as follows:

Note: If both ranges you selected contain same headers, please check the My data has headers option.

3. And then a dialog box comes out and shows how many rows have been selected, just click the OK button to close it.

So far the range in the current worksheet has been conditionally formatted based on values from another worksheet/workbook. See screenshot:

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