Which UML diagram is the best for showing dependency between our IT system and other external IT systems?
For example I would like to show on diagram:
Further to your thoughts and what Aleks has said, people usually use a combination of both to articulate the inter-system relationships
EA allows you to reuse components in component diagram & Sequence diagram, which allows you to update model from one diagram and have the changes reflected in the other. Below snapshots show how two components in the model are used in a component diagram (for structural relationships) and sequence diagram(for behavioral flow)