In Salesforce Classic we have the Custom Links on the Home Page as a Standard Feature.
But, We do not find the custom links feature on the Lightning Home Page. In case if you want to have the custom Links component on the Home page of Lightning you can proceed further.
We need build component in lightning to Configure the Custom Links on the Lightning Home Page
From the Above example, Users can access the custom link on Tableau Reports from the Custom Component placed on the lightning page.
Bringing the Salesforce Classic Custom Link feature into Lightning.