External GPUs are explicitly supported by Thunderbolt 3, and some people have had success with it on TB2 as well. The 4x PCIe 3.0 lanes offer enough bandwidth

External GPUs are explicitly supported by Thunderbolt 3, and some people have had success with it on TB2 as well. The 4x PCIe 3.0 lanes offer enough bandwidth for most purposes. It's kind of poorly supported on Mac OS though, and the enclosures aren't cheap.