Embedding videos and audio files from popular sites is not that hard. In fact many of them allow you to do just that with a click or two. The Elfsight File Embed makes it even easier to insert files in your website. You will be able to embed PDF, DOCX, JPEG, and about 20 formats.
File Embed comes with a native WordPress widget and works with Gutenberg and Visual Composer (WPB). You can embed files by loading them from your computer, embed by URL or select them from your already uploaded files. You get grid and list file viewing layouts.
This plugin is response and has an easily customizable widget interface. It should work with most free and paid themes.