How can I save/load my Entity from a different database in Drupal 8? For a custom Drupal 8 module I am integrating data from a separate database (other than the default drupal database) by defining a new Drupal entity in my module.

How can I configure my Entity class (or an EntityStorage class?!) to get the data of this entity from a different database?
Can I change the injected (?) Database Connection object from which the entity is queried?

My question is similar to Drupal entity from different database dealing with Drupal 7. However, I think Drupal 8 has some different approaches.

Note: This other database is currently running on the same server.
At least if the "external" database is on the same server, there is an easy solution. The base_table of an entity can refer to a different database using . as a separator.

Just adapt the EntityType annotation in the comment above your Entity class. The following example uses the table myentity_table from the my_database database for this Entity's data:

@ContentEntityType(
 *   id = "myentity",
 *   base_table = "my_database.myentity_table",
 *   [...]
 * )