Hi Mary,
Just to clarify, this answer is based on the premise that you want to find hyperlinks on your site that lead to a different domain, but are broken?
For example, yoursite.com/page has a hyperlink to othersite.com/page-2 but that othersite.com/page-2 URL returns a 404 status code.
Without a doubt the best tool to use here would be Screaming Frog. The tool is free to use to crawl up to 500 URLs. Otherwise it's £149 (from memory) for a year's licence.
It might seem daunting to use but it is relatively straight forward. They have great documentation on how to find broken links on your website, and their support team is excellent.
I'm not affiliated with Screaming Frog in anyway btw 
If you need any further assistance feel free to chuck your website in here, or DM me (I think you can do that here). I can compile a list of broken external URLs for you if you like.
Cheers,
Stefan
