Ideally, your 3rd party website would expose an API you could query. The most common are REST or SOAP APIs, and Mendix has support for both.
https://docs.mendix.com/refguide/call-rest-action/
https://docs.mendix.com/refguide/call-web-service-action/
I hope this helps, good luck!
Most obvious way would be for Mendix to call a service on the "3rd party website" to retrieve the data you need.