Is there any way to embed files in Keynote presentation? So, that others can click on it and download/open it in their machines.
Besides images or other media that can natively be placed into Keynote, for a document or binary file of arbitrary format, you would almost certainly have to post it elsewhere (Dropbox/Google/web page) and embed a URL to the sharing link in your presentation.
Unfortunately, it seems you can't make the URL have the format of
file:// instead of
http:// You can, however use