The original release of the Super Game Boy lacks a Game Boy link port and thus can't be linked up to other consoles. While this would be awkward to use, in some cases this may have been the only option for some people. Some Super Game Boy games alleviated this by adding in support for the SNES's second controller port or even the multitap. However, Pokemon changed the dynamic with it's trading mechanic. The later Japan-only Super Game Boy 2 fixed this problem by adding in a link port in the style of the Game Boy Pocket. Since the Super Game Boy is using original Game Boy hardware, the capability to use a port exists but it must be modded in on the original version. Note that due to clock speed differences that could cause desyncing issues, it's highly recommended to combine this with the [Speed Mod].
Qwertymodo's Board
Qwertymodo sells a pre-made board and port that adds a link port to the system, though it does require cutting into the Super Game Boy shell to provide a hole for the port, or printing up a third party Super Game Boy shell to prevent destruction of the original plastic. The product can be found on Tindie or on Lectronz in qwertymodo's storefronts, with more in-depth documentation on it found on their personal website.