How can I link/reference another reST file in the documentation?

To create links between different reStructuredText (.rst) files you can use the inline markup provided by sphinx. See the documentation under the heading Cross-referencing documents

on top of the file you define its label

.. _my-reference-label:

then you can link to it from other documents using

:ref:`my-reference-label`.

I do not believe you need to use the intersphinx extension, since it is for links between different projects. With this method you can link between different .rst files using their relative paths as described in the documentaion link above.

Simplifying @eme-eme's answer, you can just do:

:doc:`path/to/document`

You don't need to enclose the path in <> and provide a text to be displayed. In this case, a top-level header from the referenced document will be displayed as a link.

You don't need inter-sphinx extension for that.

An existing file {example.rst} may be linked to with the following syntax:

:ref:`Optional Link text <example>`

However, pop this inside a topic or even a bullet point and behaviour may alter. So, you can refer to the final built file:

`Optional Link text <example.html>`_

Here is a great guide

I write the link to another document using this:

:doc:`my document <../my_doc>` 

../my_doc is the path to my my_doc.rst file.

I also have inter-sphinx extension in my conf.py file.

extensions = ['sphinx.ext.intersphinx']