You can insert many other file types into a Word document using these methods. However, they may not all work the same way, and it depends on the file type.
For example, when you get to the step where you select the file as an object, icon, or link, you may see the file grayed out. You also may see a message when trying to insert the file letting you know that there’s a problem. These are indicators that you cannot perform the particular action with that type of file.