Is it possible to set up ADSI linked server in SQL Server Express?
Linked Servers do not seem to be an edition specific feature according to this MSDN article : Linked Servers (Database Engine) SQL 2016 

To add a linked server without the SQL Server Management Studio you would use the system stored procedures sp_addlinkedserver (SQL 2008+ or SQL 2012) and sp_addlinkedsrvlogin (SQL 2008+).

A similar Q&amp;A was previously posted in SO as Linked Server In SQL Server Express